台灣毛豬市場不對稱價格傳遞關係之研究

A Study of Asymmetric Price Transmission Mechanism in the Taiwan Hog Market

本研究使用非線性門檻自我迴歸（Threshold Autoregressive，以下簡稱TAR） 及動量門檻自我迴歸（Momentum-TAR， 以下簡稱MTAR）模型，在納入可能的結構改變點之後，來檢定1981 年1 月至2006 年12 月間，台灣毛豬市場的零售價格變動與產地價格變動之間的傳遞過程是否會存在一種不對稱關係。實證結果發現，產地價格符合一種I(0) 過程，而零售價格在考慮結構改變（1997 年5 月－－口蹄疫事件）之後，也符合一種 I(0) 過程。至於是否存在不對稱的調整過程，本研究僅在均衡水準不為0（採用最適門檻水準）的M-TAR 模型中，發現存在不對稱的調整過程；而在其他模型之下並沒有發現不對稱的關係，因此我們認為台灣毛豬市場的價格傳遞過程中並不存在不對稱的關係。最後，本文也發現台灣毛豬市場產地價格的變動與零售價格的變動之間，均具有雙向反饋的關係，顯示兩市場價格變動之間存在一種短期互為反饋的關係。

This paper employed non-linear threshold autoregressive (TAR) andmomentum -TAR (M-TAR) models to tests whether the asymmetric pricetransmission relationship existed between the retail price and theproducer price in Taiwan hog market after taking into considerations ofpossible structural changes during the sample period from Jan 1981 toDec 2006.The results showed that the change of producer price fitted the I (0)process as was that of retail price after allowing for the structural change:the outbreak of food and mouth disease in May 1997. The finalestimation of the co-integration models indicated that only in M-TARmodel and only when the equilibrium level was not equal to 0, did theasymmetric price transmission relationship existed. In that case, thecriterion of a optimal threshold level could be chosen. It indicated that thespeed of the price transmission (to the retail price) while the producerprice was declining was faster than that while the producer price wasincreasing. The finding was rather different from the previous study,which illustrated the reverse process. Our results also discovered that thebi-direction feedback relationship existed between the dynamic change ofproducer price and that of retail price in the Taiwan hog market with thereciprocal feedback between the two market prices.