差異性商品之特徵價格與共整合關係之研究—以臺灣黃豆產業為例

Hedonic Pricing of Differentiated Commodities and Cointegration Relationships: An Application to Price Dynamics of Soybean Industry in Taiwan

莊鈞婷(Chun-Ting Chuang)

指導教授 ： 陳郁蕙

國立臺灣大學/生物資源暨農學院/農業經濟學研究所/碩士(2009年)

https://doi.org/10.6342/NTU.2009.10430

摘要

黃豆為我國重要民生物資之一，尤其近年來隨著國人飲食文化與消費型態的改變，對黃豆、黃豆油與黃豆粉之需求有逐年增加的趨勢。但國內黃豆卻生產不足，糧食自給率不到1%，因此多以進口的方式補足超額需求之缺口，其中美國為我國黃豆進口之主要來源國。自2006年10月至2008年7月國際大宗穀物起漲甚至屢創歷史高點這段期間，連帶使得國內黃豆製品相關產業加工成本攀升，因此，本研究即以台灣黃豆產業為分析對象，運用Johansen共整合分析探討美國黃豆出口市場至我國黃豆進口市場之價格關聯。
其次，我國黃豆自合船進口後，有極大比例由加工廠進行加工用，為探討黃豆製品相關廠商在這波漲價潮下，黃豆、黃豆油與黃豆粉三項差異性商品間價格之長期關係，本研究將以Chavas與Kim(2005)考慮動態之特徵價格理論模型為主要架構，探討黃豆、黃豆油與黃豆粉產業之特徵價格與產品價格之長期關聯性，以及利用運銷價差估測黃豆製品價格漲跌之合理性與分析國內黃豆產業運銷之整合情形。
根據本研究實證結果顯示，美國黃豆出口市場與我國黃豆進口市場間符合單一價格法則，亦說明黃豆之進口流程與聯合採購制度係屬公開透明，黃豆原料進口廠商未有中間圖利之現象發生或可能性。再者，在市場商品的組成要素為一固定比率的假設下，台灣黃豆產業服從特徵價格訂價法。在此理論架構下所推估出之特徵價格向量，與本文運用Johansen共整合分析所估計出使變數達長期均衡變動之共整合向量相近，因此本研究認為台灣之黃豆、黃豆粉與黃豆油價格之長期關係偵測到特徵價格之訂價方法。

關鍵字

黃豆產業 ； 單一價格法則 ； 共整合 ； 特徵價格 ； 運銷價差

並列摘要

Because the self-sufficiency ratio of soybeans in Taiwan has been lower than 1%, most of the soybean sold in Taiwan comes from international suppliers, among which the United States dominates 87.5% of the market. The special trade relation raises the interest of the current study whether the law of one price holds for the export soybean from the U.S. and the import soybean market in Taiwan. By performing Johansen cointegration, this paper aims to examine the price connection during the period from January 2004 to July 2008.
The primary empirical result shows that both export soybean from the U.S. and the import soybean in Taiwan are consistent with the law of one price. This finding also reinstate that there is no evidence to reflect any market maneuver in the soybean industry in Taiwan. Therefore, to make excess profits in the period of high rising soybean price are not possible given that soybean’s import are carefully monitored by the government agency and fully disseminated to the public. Moreover, with overwhelming proportion of imported soybeans is used to be processed by factories, we introduce the hedonic pricing model with dynamics consideration proposed by Chavas and Kim (2005) to find out the long-term price relationship among three differentiated products: soybeans, soybean oil and soybean meal. To confirm our empirical result, we also calculate marketing margin to investigate the degree of soybean price integration among differentiated products.
The secondary empirical result reflects that the pricing of Taiwanese soybean industry agrees with the hedonic pricing model, in the long-run at least, given the assumption of fixed composition of the differentiated commodities. Since the cointegrated price vector under hedonic pricing model matches closely to that under Johansen cointegration approach, it points out that the long-term price relationship among soybeans, soybean oil and soybean is consistent with hedonic pricing model.

並列關鍵字

soybean industry ； the law of one price ； cointegration ； hedonic pricing ； marketing margin

參考文獻

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