台灣重要蔬菜價格傳遞之研究

A Study on Price Transmission between Vertical Markets of Major Vegetables in Taiwan

為了解國內重要蔬菜在不同市場間之價格傳遞關係，本文針對不結球白菜等五項蔬菜的產地批發價格與消費地批發價格、消費地批發價格與消費地零售價格，利用門檻向量自我回歸模型，分別以產地批發價格與消費地批發價格的變動率絕對值做為門檻變數，探討他們之間短期價格傳遞的方向與幅度，並利用Hansen and Seo（2002）提出的Sup-LM檢定統計量以及固定迴歸拔靴法來模擬臨界值並檢定模型是否存在門檻效果，即檢定其傳遞關係是否會因為門檻變數的變動幅度不同而產生差異。結果發現，產地批發價與消費地批發價間傳遞的5個模型中，不結球白菜、花椰菜與甘藍菜的部分都出現門檻效果；至於消費地零售價與消費地批發價之門檻檢定，則僅有花椰菜存有非線性的關係。 To explore the price transmission of major vegetable crops among the market channels in Taiwan, this study utilizes threshold vector autoregressive model, TVAR, to investigate the wholesale price in production areas, the wholesale price in consumption areas, and the retail price in consumption areas for 5 types of vegetable crops. The wholesale price variation of production areas and that of consumption areas function as the threshold variables respectively in these models which are to probe into the short-term price transmission direction and extent between these prices. This study in further exploits Sup-LM test statistics and fixed regression bootstrap suggested by Hansen and Seo (2002) to simulate critical values and test the presence of a threshold. Among these 5 price transmission models, we find evidence for a threshold effect in the vegetable crops, Chinese mustard, cauliflower, and cabbage. As to the threshold test of the wholesale price or the retail price in consumption areas, only the cauliflower presents nonlinear relationship.

To explore the price transmission of major vegetable crops among the market channels in Taiwan, this study utilizes threshold vector autoregressive model, TVAR, to investigate the wholesale price in production areas, the wholesale price in consumption areas, and the retail price in consumption areas for 5 types of vegetable crops. The wholesale price variation of production areas and that of consumption areas function as the threshold variables respectively in these models which are to probe into the short-term price transmission direction and extent between these prices. This study in further exploits Sup-LM test statistics and fixed regression bootstrap suggested by Hansen and Seo (2002) to simulate critical values and test the presence of a threshold. Among these 5 price transmission models, we find evidence for a threshold effect in the vegetable crops, Chinese mustard, cauliflower, and cabbage. As to the threshold test of the wholesale price or the retail price in consumption areas, only the cauliflower presents nonlinear relationship.