交易成本與套利的非線性動態探討：台灣肉雞市場的實證

Nonlinear Dynamics with Transaction Costs and Arbitrage: Evidence in the Broiler Product Market of Taiwan

本文試圖把 Dumas (1992)、Michael et al. (1997)以及 Monoyios and Sarno (2002)等學者提出的交易成本納入 Granger and Terlisvita (I 993)所提出的指數平滑轉換自我迴歸(ESTAR)模型中，以捕捉台灣肉雞產品的每月零售價與批發價價差的非線性動態調整的特性。當交易成本存在時，以傳統線性模型探討肉雞的零售價與批發價的動態關係是不適當的。交易成本的存在會導致台灣肉雞市場的價差落在區間外時有套利的機會；但若價差落在區間內時，獲取套利的超額利潤是不可能的。本文藉由過去經驗得悉，當批發價與零售價存在正價差而扭曲市場機制時，參與批發及零售的業者經常為超額價差的存在爭論不休。因此，本文建議政策制定者可考慮增發營業執照以允許更多的潛在批發業者進入市場，以提高肉雞市場的競爭性，並期望在公平的市場機制下主管機關加強監督市場環境，以確保交易效率的達成 。

In this study, we attempt to incorporate transaction costs presented by Dumas (1992), Michael et al. (1997), and Monoyios and Samo (2002) into the exponential smooth transition autoregressive (EST AR) model proposed by Granger and Terasvita (1993) to capture the nonlinear properties between monthly wholesale and retail price and of the spread of the broiler products. The dynamic relationship between the wholesale and retail broiler prices by the conventional linear models is indeed inappropriate in the presence of transaction costs. Transaction costs would result in the existence of the inner band for arbitrages in the Taiwanese broiler product market within which excessively profitable trading opportunities are impossible. The finding that the existence of excessively positive spreads produced persistent arguments between the wholesale and retail processing and thus destroyed the market mechanism suggests that policy makers may consider granting more licenses to potential wholesalers in allowing for high competition, and hence monitor the environment for market trading to guarantee the achievement of efficiency under the fair schemes.