美元指數、原油價格與糧食價格關係

糧食不僅僅只是人類賴以維生的物品，更是一種國際重要的戰略物資與外交籌碼。一旦國際糧食價格受外在因素影響而暴漲，勢將對台灣人民的生活造成極大衝擊，甚至引爆糧食革命。因此，本文希望透過影響糧食價格的相關議題，進行更深入的研究。本文主要有6點發現： 1.透過文獻調查法發現糧食危機為：人口因素、全球暖化、農業政策、跨國農業綜合企業、食品安全、美元因素、原油價格、生質燃料等因素相互影響下之結果。 2.美元指數與糧食價格變數之間為負相關；原油價格與糧食價格變數之間為正相關。 3.美元指數以及原油價格兩項變數與稻米價格；食糖價格指數以及油和油脂價格指數兩項變數與原油價格：美元指數與大豆價格皆存在長期均衡關係。 4.2007年以前美元指數領先原油價格與大豆價格；原油價格領先糖類價格指數；肉類價格指數領先美元指數。2007年以後美元指數領先稻米價格；原油價格領先肉類價格指數與乳製品價格指數；肉類價格指數與黃豆價格領先美元指數；糧食價格指數、油和油脂價格指數、稻米價格三項變數領先原油價格。美元指數與穀物價格指數則存在回饋關係。 5.原油價格對於美元指數、糧食價格指數、肉類價格指數、大豆價格、稻米價格之衝擊影響皆非常顯著。2000年原油價格對糖類價格指數衝擊影響顯著，2007年以後則趨緩。2007年以後原油價格對於玉米價格之衝擊影響非常顯著。 6.以2000年與2007年進行比較，自我解釋能力減少之變數為：肉類價格指數(-31.85)；乳製品價格指數(-14.30)；稻米價格(-11.77)；原油價格(-14.58)。美元指數解釋能力增加之變數為：糧食價格指數(+20.66)；穀物價格指數(+15.69)；油和油脂價格指數(+10.83)；小麥價格(+11.59)；玉米價格(+13.67)之解釋能力增加。原油價格解釋能力增加之變數為：糧食價格指數(+35.11)；肉類價格指數(+22.51)；穀物價格指數(+13.49)；油和油脂價格指數(+36.13)；美元指數(+14.58)。

關鍵字

糧食危機；美元指數；原油價格；糧食價格；糧食價格指數；黃豆價格；小麥價格；玉米價格；稻米價格；單根檢定；共整合檢定；向量誤差修正模型；向量自我迴歸模型； Granger因果關係檢定；衝擊反應函數；變異數分解； EViews 6

並列摘要

This research adopt Literature Survey Method and Time Series Analysis to investigate the US Dollar Index, the Crude Oil Price and the Food Price Relationship. The data frequency of this study is Month. data period spans from 2000M01 to 2011M12. we divide the food crisis period from our sample period since our full sample period includes the 2007 food crisis. Research methods include Correlation Coefficient, Unit Root Test, Cointegration Test, Vector Error Correction Model, Vector Autoregressions, Granger Causality, Impulse Response Function, Variance Decomposition by EViews 6. After investigating and analyzing, the results of this research are as follows: 1.Literature Survey Method : Factors Affecting Food Prices(1)Population Factor(2)Global Warming(3)Agricultural Policy(4)Multinational Agribusiness(5)Food Security(6)Dollar Factor(7)Crude Oil Price(8)Biofuel. 2.Correlation Coefficient : (1)US Dollar Index and Food Price Variable have a Nagtive correlation(2)Crude Oil Price and Food Price Variable have a Positive correlation. 3.Cointegration : (1)US Dollar Index and Rice Price, Crude Oil Price and Rice Price, Sugar Price Index and Crude Oil Price, Oils/Fats Price Index and Crude Oil Price, US Dollar Index and Soybeans Price Between Existence of a Long-Run Equilibrium. 4.Granger Causality : (1)2000M1~2006M12 : US Dollar Index takes the lead in Crude Oil Price, US Dollar Index takes the lead in Soybeans Price, Crude Oil Price takes the lead in Sugar Price Index, Meat Price Index takes the lead in US Dollar Index.(2)2007M1~2011M12 : US Dollar Index takes the lead in Rice Price, Crude Oil Price takes the lead in Meat Price Index, Crude Oil Price takes the lead in Dairy Price Index, Meat Price Index takes the lead in US Dollar Index, Soybeans Price takes the lead in US Dollar Index, Food Price Index takes the lead in Crude Oil Price, Oils/Fats Price Index takes the lead in Crude Oil Price, Rice Price takes the lead in Crude Oil Price, U.S. Dollar Index is two-way causality to Cereals Price Index. 5.Impulse Response Function : (1)2000M1~2011M12 : Crude Oil Price is have significant impacts to US Dollar Index, Food Price Index, Meat Price Index, Soybeans Price, Rice Price.(2)2000M1~2006M12 : Crude Oil Price is have significant impacts to Sugar Price Index, After 2007 impacts reducing.(3)2007M1~2011M12 : Crude Oil Price is have significant impacts to Corn Price. 6.Variance Decomposition : comparison of 2000M1~2006M12 and 2007M1~2011M12 (1)self-explanation decreasing : Meat Price Index(-31.85), Dairy Price Index(-14.30), Rice Price(-11.77), Crude Oil Price(-14.58).(2)US Dollar Index to food explanation increased : Food Price Index(+20.66), Cereals Price Index(+15.69), Oils/Fats Price Index(+10.83), Wheat Price(+11.59), Corn Price(+13.67).(3)Crude Oil Price to food explanation increased : Food Price Index(+35.11), Meat Price Index(+22.51), Cereals Price Index(+13.49), Oils/Fats Price Index(+36.13), U.S. Dollar Index(+14.58).

並列關鍵字

Food Crisis ； US Dollar Index ； Crude Oil Price ； Food Price ； Food Price Index ； Soybeans Price ； Wheat Price ； Corn Price ； Rice Price ； Unit Root Test ； Cointegration Test ； Vector Error Correction Model ； Vector Autoregressions model ； Granger Causality Test ； Impulse Response Function ； Variance Decomposition ； EViews 6

參考文獻

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