青蔥價格與消費者物價指數的因果關係分析：門檻向量自我迴歸模型之應用

The Relationship between Green Onion Price and Consumer Price: An Application of Asymmetric Threshold Model

本文利用非線性門檻向量自我迴歸模型（threshold vector autoregressive model, TVAR），實證檢驗台灣地區1989年1月至2006年7月間，蔥價與消費者物價指數（分別採用蔬菜類、食物類與總物價等3大類指數）之間的因果關係。線性及非線性共整合檢定結果均顯示，蔥價與3種物價指數之間皆不存在長期關係。雖然傳統VAR因果關係檢定指出，蔥價與物價指數存在負向且雙向的因果關係；但當使用蔥價變動率為門檻變數進行非線性TVAR模型的因果關係檢定時，結果顯示蔥價對於物價指數之間存在不對稱動能（momentum）的調整。蔥價與3種物價指數均存在雙向因果關係，其中在上體制，蔥價變動對3種物價指數的影響為正，而3種物價指數對蔥價的影響為負；在下體制，蔥價變動對總物價與蔬菜類等2類指數的影響為正，對食物類物價指數的影響為負，而3種物價指數對蔥價的影響則均為負向。本文考量蔥價動能的不對稱效果後，發現蔥價變動可以成為消費者物價變動的先行指標。 This paper employs the linear cointegration test and the asymmetric threshold vector auto-regression model to investigate the interrelationship between the green onion price and different consumer price-which includes vegetables, food and general consumer index of consumer price for Taiwan covering the January 1989 to July 2006 period. The result of cointegration test shows that there exists no long-run relationship between the green onion price and consumer indices. Generally, under the short-run asymmetric adjustment process, the common strategy observed in our nonlinear model is that when the onion price is rising (falling), there exists feedback between the onion price and consumer indices, the onion price affect consumer indices in a positive way; however, the consumer indices affect onion price in a negative way. From that point of view, it would appear that the change of onion price is possible to become the leading indicator of change of consumer price under asymmetric models.

This paper employs the linear cointegration test and the asymmetric threshold vector auto-regression model to investigate the interrelationship between the green onion price and different consumer price-which includes vegetables, food and general consumer index of consumer price for Taiwan covering the January 1989 to July 2006 period. The result of cointegration test shows that there exists no long-run relationship between the green onion price and consumer indices. Generally, under the short-run asymmetric adjustment process, the common strategy observed in our nonlinear model is that when the onion price is rising (falling), there exists feedback between the onion price and consumer indices, the onion price affect consumer indices in a positive way; however, the consumer indices affect onion price in a negative way. From that point of view, it would appear that the change of onion price is possible to become the leading indicator of change of consumer price under asymmetric models.