驗證台灣地區毛豬價格單一法則

The Law of One Price: Evidence the Price of Hog of Taiwan

毛豬是台灣最重要的畜產，其產值最大、養豬人數最多、地區分佈最廣。傳統上，單一價格法則常用來判斷一個產業的市場效率性。因此，本文將驗證台灣地區之毛豬是否符合單一價格法則的假說；即藉由檢定在不同地區批發市場之間毛豬價差的恆定性來驗證單一價格法則。如果毛豬價差具恆定性，則單一價格法則成立。本文採用Elliott、Rothenberg 與Stock（1996）針對ADF 檢定和Ng 與 Perron（1996、2001）針對PP 檢定提出的修正‘M’檢定以及Nyblom 與Harvey（2000）提出的NH 追蹤資料單根檢定法驗證台灣地區毛豬價格單一法則是否成立；實證結果顯示台灣地區的毛豬價差在長期具收斂性，亦即毛豬市場具效率性。本文進一步估計毛豬價差的半衰期，藉由半衰期檢視台灣毛豬價差的收斂速度；並且利用由Engel 與 Rogers（1996、1998）提出的引力模型檢視距離和區域效果對毛豬相對價格行為的影響；實證結果發現區域效果對價格波動性和價格相關性有顯著的影響。

Hog alive Taiwan most important livestock products, output value itsmost heavy, raise pig number at most, area distribute widest. Traditionally,law of one price comes to judge the market efficiency of an industry.Hence, it is interesting to examine the hypothesis of law of price forTaiwan’s hog market. Therefore, following the empirical strategy intesting PPP, we investigate the hypothesis of long-run law of price byexamining the stationarity of price differential between markets. If pricedifferentials are stationary then the validity of long-run law of price issupported. We apply modified ‘M’ test and the panel data unit root testsof Nyblom and Harvey (2000) to examine the efficiency of the hog marketin Taiwan by testing the hypothesis of the law of one price. There isstrong evidence to show that regional hog prices converge in the long run.Then we estimate half-life and volatility of price differentials, and estimategravity model to explore the effects distance has on relative pricebehavior. I do find considerable evidence for regional explaining relativeprice behavior with respect to cross city price volatility and pricecorrelations.