台灣毛豬市場不對稱價格傳遞關係之研究

本研究使用非線性門檻自我迴歸（Threshold Autoregressive，以下簡稱TAR)及動量門檻自我過歸（Momentum-TAR，以下簡稱M-TAR）模型，在納入可能的結構改變點之後，來檢定1981年1月至2006年12月間，台灣毛豬市場的零售價格變動與產地價格變動之間的傳遞過程是否會存在一種不對稱關係。實證結果發現，產地價格符合一種I(0)過程，而零售價格在考慮結構改變（1997年5月－口蹄疫事件）之後，也符合一種I(0)過程。至於是否存在不對稱的調整過程，本研究僅在均衡水準不爲0（採用最適門檻水準）的M-TAR模型中，發現存在不對稱的調整過程，而在其他模型之下並沒有發現不對稱的關係，因此我們認爲台灣毛豬市場的價格傳遞過程中並不存在不對稱的關係。最後，本文也發現台灣毛豬市場產地價格的變動與零售價格的變動之間，均具有雙向反饋的關係，顯示兩市場價格變動之間存在一種短期互爲反饋的關係。

關鍵字

毛豬市場；不對稱性；價格傳遞；門檻自我迴歸；動量門檻自我過歸模型

並列摘要

This paper employed non-linear threshold autoregressive (TAR) and momentum-TAR (M-TAR) models to tests whether the asymmetric price transmission relationship existed between the retail price and the producer price in Taiwan hog market after taking into considerations of possible structural changes during the sample period from Jan 1981 to Dec 2006. The results showed that the change of producer price fitted the I (0) process as was that of retail price after allowing for the structural change: the outbreak of food and mouth disease in May 1997. The final estimation of the co-integration models indicated that only in M-TAR model and only when the equilibrium level was not equal to 0, did the asymmetric price transmission relationship existed. In that case, the criterion of a optimal threshold level could be chosen. It indicated that the speed of the price transmission (to the retail price) while the producer price was declining was faster than that while the producer price was increasing. The finding was rather different from the previous study, which illustrated the reverse process. Our results also discovered that the bi-direction feedback relationship existed between the dynamic change of producer price and that of retail price in the Taiwan hog market with the reciprocal feedback between the two market prices.