油價對我國重要農產價格影響之研究

A Study on the Influences of Oil Prices on Taiwan Agricultural Prices

張伊珊(Yi-Shan Chang)

指導教授 ： 戴錦周

國立臺中科技大學/商學院/財務金融系碩士班/碩士(2014年)

摘要

2007~2008 年的糧食危機， 年的糧食危機， 年的糧食危機， 年的糧食危機， 年的糧食危機， 年的糧食危機， 年的糧食危機， 造成農產品價格急遽上漲。而我國屬於小型且高度開放經濟體，除了稻米達到自給自足外，其他諸如玉米、黃豆、小麥等雜糧作物，幾乎完全仰賴進口，受國外影響甚大。故本文以我國重要農產品作為研究對象，研究期間為2006-2009年9月，採用聯立方程式模型之三階段最小平方法加以分析農產品價格與油價、未平倉量和美元匯率之間的關係。
實證結果顯示： 一、黃豆價格方面，會受到前期本身價格和油價影響，其影響為正的；而油價又會受到黃豆未平倉量與雷曼虛擬變數影響，其影響前者為正的，後者為負的。二、小麥價格方面，只受到前期本身價格影響，其餘變數則無顯著。三、玉米價格方面，會受到前期本身價格和油價影響，其影響為正的；油價又會受到玉米未平倉量與雷曼虛擬變數影響；玉米未平倉量則會受到中國經濟變數影響。四、稻米價格方面，會受到美元匯率的影響，其影響為負的，其餘變數則無顯著。

關鍵字

農產品價格、油價、未平倉量、匯率、聯立方程模型、三階段最小平方法

並列摘要

From 2007 to 2008, the prices of agricultural commodities surged upward. As a small but highly open economy, Taiwan achieved self-sufficiency in rice, but it is heavily dependent on other grains exports, such as corn crops, soybeans, wheat, etc. Therefore, it is vulnerable to fluctuations in world agricultural supply and demand. Thus, this study will focus on Taiwan’s major agricultural products. We use Simultaneous Equations Model to examine the relationship among agricultural prices, oil prices, open interest and dollar exchange rate in Taiwan from January 2006 to September 2009.
The empirical results showed: First, lagged soybean prices and oil prices have significant positive influence on soybean prices. And total open interest in soybean futures and post-Lehman dummy variable have significant influence on oil prices, the former has positive influence, the latter has negative influence. Second, lagged wheat prices have significant influence on wheat prices while the other variables remain insignificant. Third, lagged corn prices and oil prices have significant positive influence on corn prices. And total open interest in corn futures and post-Lehman dummy variable have significant influence on oil prices. China economic variables have significant influence on total open interest in corn futures. Fourth, dollar exchange rate has significant negative influence on rice prices while the other variables remain insignificant.

並列關鍵字

Agricultural Prices、Oil Prices、Open Interest、Dollar Exchange Rate、Simultaneous Equations Model、Three-Stage Least Squares

參考文獻

劉志偉，2009，「國際農糧體制與臺灣的糧食依賴: 戰後臺灣養豬業的歷史考察」，臺灣史研究，16卷2期：頁105-160。

行政院農業委員會，2012，糧食供需年報，台北:行政院農業委員會。

鄧耀宗，2003，「台灣稻作之回顧與展望」，高雄區農業改良場研究彙報，14卷3期：頁1-23。

Lazear, E. 2008. White House disputes role of biofuels in food prices. Associated Press, May 15.

Baffes, J. 2007. Oil spills over into other commodities. Washington, D.C.: World Bank.