調配機制對毛豬價格波動性之影響

The Impact of Deployment Mechanism on the Volatility of Hog Price

王若愚(Jo-Yu Wang) ； 張呈徽(Chung-Hui Chang) ； 李仁耀(Jen-Yao Lee):林啟淵(Chi-Yuan Lin)

《農業經濟叢刊》 20卷2期 (2015/06) Pp. 89-119

https://doi.org/10.6196/TAER.2015.20.2.3

摘要

毛猪供銷業務與調配會議的召開，一直以來是行政院農業委員會穩定國內毛猪價格的一個重要管道。本研究利用GARCH、EGARCH與GJR-GARCH三個模型，檢視藉由事先管控各肉品市場次月的毛猪供應數量，穩定毛猪價格波動的成效。研究結果顯示，整體而言，受限於肉品市場的配合意願，加上調配會議管控數量的方式，可能讓各肉品市場對於需求變動的因應能力下降，造成此一政策整體效果有限。不過，進一步分別檢視國內八個主要肉品市場後，雖然每個月前二十天，政策成效仍屬有限，但隨時間經過，加上月底調配會議召開與檢討，則是可以發現政策的部分成效，多數市場毛猪價格有波動減小的現象。另外，實證結果發現國內毛猪價格的波動確實存在不對稱性，當非預期訊息造成實際價格低於預期價格時，引起的毛猪價格波動較小。

關鍵字

調配機制 ； 價格波動性 ； 數量管控

並列摘要

The convention of hog business and deployment mechanism has been played as a critical channel to stabilize Taiwanese hog price. In this paper, GARCH, EGARCH, and GJR-GARCH models are applied to examine the stabilization policy on hog price volatility, by ex-ante negotiating the supply quantity of hog for each local market in next month. According to the empirical results, the effects of the policy are limited by the willingness of each local hog market to this policy. In addition, the method of deployment mechanism in the convention is another factor to reduce their flexibility when the demand is changed. However, some new information may be found by looking at the effects in the eight main markets individually. The results show that the policy effect in the first twenty trading days is limited. When it approaches to the end of the month and the convention of deployment mechanism is hold, we can find that the policy works partially. The hog price volatility is reduced by the deployment mechanism in most local hog markets. Further, the empirical evidence also shows that the volatility of Taiwanese hog prices is asymmetric. When the realized price is lower than expected price caused by those unexpected information, the hog price volatility is smaller.

並列關鍵字

Deployment Mechanism ； Price Volatility ； Quantity C

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