白肉雞產地價格與飼料價格的不對稱反應

Asymmetric Transmission between Fodder Prices and Broiler Farm Prices

黃哲悠(Jer Iou Hwang) ； 葉春淵(Chun-Yuan Yeh)

《台灣農學會報》 13卷4期 (2012/08) Pp. 363-376

https://doi.org/10.6730/JAAT.201208_13(4).0003

摘要

農產品的價格波動及價格傳遞一直為各界關注的議題。白肉雞的生產過程中，飼料投入也是影響白肉雞生產成本的主要因素，因此飼料價格的變動，可能引申影響白肉雞的產地價格波動。本文以1999年1月至2011年5月為研究期間，驗證台灣白肉雞產地價格對於飼料價格的非線性動態調整過程；研究方法將採用Breitung（2001）的rank test、nonlinear score test以及Ender and Granger（1998）之門檻自我迴歸模型（threshold autoregressive model, TAR）和動能門檻自我迴歸模型（momentum threshold autoregressive model, M-TAR）來進行分析。由非線性共整合檢定（nonlinear cointegragtion test），發現白肉雞產地價格與飼料價格確實存在非線性共整合關係，而門檻誤差修正模型（threshold error correction model, TECM）估計結果，也顯示白肉雞產地價格與飼料價格，對於好壞消息的衝擊反應具有不對稱的反應。

關鍵字

白肉雞產地價格 ； 飼料價格 ； 不對稱反應

並列摘要

This study applies the rank and score test developed by Breitung (2001) to examine the long-run nonlinear relationship between the chicken price and feed price via threshold co-integration testing. This study further uses Granger-Causality tests based on the corresponding threshold error-correction model to assess whether causality exists between chicken price and feed price. The empirical results indicate MTAR has better explanatory ability than the TAR model and there is an asymmetric threshold co-integration relationship between the chicken price at the place of production and feed prices. Moreover, the Granger-Causality tests based on TECM are further employed to explore chicken and feed prices in terms of the long-run situation. A unidirectional relationship exists from feed prices to chicken prices in the event of negative shocks on error correction terms.