本研究資料樣本期間為2006年1月至2020年1月,以時間序列方法探討大宗穀物價格(玉米價格、黃豆價格及小麥價格)及經濟變數(石油價格、美元指數、美元兌台幣價格、美國十年期公債利率、美國失業率、美國失業人口及美國非農就業人口)兩者之間之互動關係。將會採用單根檢定、共整合檢定、Granger因果關係檢定及衝擊反應等時間序列方法進行分析。 本研究經由單根檢定後發現,除了小麥價格之外的變數皆具有單根,即為不穩定序列,然而在共整合檢定中玉米價格與七個經濟變數共有四組共整合;黃豆價格與七個經濟變數共有五組共整合。經Granger因果檢定得出: 玉米價格會「Granger影響」美國非農就業人口及美元兌台幣之匯率,黃豆價格會「Granger影響」美元兌台幣之匯率,小麥價格會「Granger影響」石油價格及美元對台幣的匯率。由衝擊反應得出:石油價格對於玉米價格、黃豆價格及小麥價格皆有正向的衝擊,美元指數對於玉米價格、黃豆價格及小麥價格皆有負向的衝擊,玉米價格及黃豆價格對於美國非農就業人口及美元對台幣匯率皆有正向的衝擊。
Data period of this article is from 1/2006 to 1/2020. This research will discuss relationships between community price( corn price, soybean price and wheat price) and Macroeconomics variable(oil price, US Dollar Index, US dollar against New Taiwan dollar, rate of US 10-Year Bond, US unemployment rate, US unemployed population and US Nonfarm payrolls) with time series method. This study will use root test, Cointegration test, Granger causality test and impulse test to explain connection of those variables. In this research, all of variables in this study have root except wheat price do not have root. And There are 4 Cointegrating equs in corn price and Macroeconomics variable. There are 5 Cointegrating equs in soybean price and Macroeconomics variable. Besides, the result of Granger causality test is: Corn price has Granger causality to US Nonfarm payrolls and US dollar against New Taiwan dollar, Wheat price has Granger causality to US dollar against New Taiwan dollar and Soybean price has Granger causality to US dollar against New Taiwan dollar. In addition to, the result of impulse test is: there is positive impulse from oil price to corn price, soybean price and wheat price, there is negative impulse from US Dollar Index to corn price, soybean price and wheat price and there are positive impulse from corn price and soybean price to US Nonfarm payrolls and US dollar against New Taiwan dollar.