Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/28385
標題: 國際肥料價格波動之分析及市場結構之估計
Analyzing the Volatility of Global Fertilizer Price with Marketing Structure Estimation
作者: 陳晉成
Chen, Jin-Cheng
關鍵字: Volatility
波動
Marketing Structure
Conjectural Variation
市場結構
猜測變量
出版社: 應用經濟學系所
引用: 中文部分 徐玟玗,2007。「原油價格波動模型之比較」。博士論文,國立台灣大學農業經濟研究所。 楊亦農,2005。『時間序列分析經濟與財務上之應用』。台北市:雙葉書廊。 劉筱筠,2004。「應用門檻GARCH-M模型分析國際原油價格變動對台灣股價報酬波動之關連性」。碩士論文,國立台北大學經濟研究所。 英文部分 Agnilucci, P. 2009. “Volatility in Crude Oil Futures: A Comparison of the Predictive Ability of GARCH and Implied Volatility Models,” Energy Economics. 31: 316-321. Alaouze, C. M., A. S. Watson, and N. H. Sturgess, 1978.”Oligopoly Pricing in the World Wheat Market,” American Journal of Agricultural Economics. 2: 173-185. Appelbaum, E., 1982. ”The Estimation of the Degree of Oligopoly Power,” Journal of Economics. 19: 287-299. Aw,Bee Yan, 1992. ”An Empirical Model of Mark-ups in a Quality-Differentiated Export Market,” Journal of International Economics. 33: 327-344. Berry, J. E., E. D. Smith, and R. W. Rudd, 1965. “Pricing in Kentucky Fertilizer Markets,” Journal of Farm Economics. 47(2): 296-310. Bollerslev, T., 1986. “General Autoregressive Conditional Heteroskedasticity,” Journal of Econometrics. 31: 307-328. Box, G. E. P. and G. M. Jenkins,1970. Time series analysis forecasting and control. San Francisco: Holden-day. Carter, C., and A. Schmitz, 1979. ”Import Tariffs and Price Formation in the World Wheat Market,” American Journal of Agricultural Economics. 61:517-522. Cheong, C. W. 2009. “Modeling and Forecasting Crude Oil Markets Using ARCH-Type Models,” Energy Policy. 37: 2346-2355. Dickey, D. and W. A. Fuller, 1979. “Distubution of the Estimation for Autoregressive Time Series with A Uint Root,” Journal of American Statical Association. 74: 427-431. Engle, R. F. and V. K. Ng, 1993. “Measuring and Testing the Impact of News on Volatility,” Journal of Finance. 48: 1749-1778. Engle, R. F., 1982. “Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of UK Inflation,” Econometrica. 50: 987-1007. Fulton, M., 1989, “ Cooperatives in Oligopolistic Industries:The Western Canadian Fertilizer Industry,” Journal of Agricultural Coopetation. 4: 1-19. Gaasland,I., and E. Vardal, 1998.”Tariff or quota protection - a case study of the Norwegian apple market, ”Applied Economics. 30: 951-957. Granfger, C. W. J. and P. Newbold, 1974. “Spurious Regressions in Econometrics,” Journal of Econometrics. 2: 111-120. Granger, C.W.J. and P. Newbold, 1974." Spurious Regressions in Econometrics, "Journal of Econometrics. 2: 111-120. Hull,J. and A. White, 1987. “The Pricing of Options on Assets with Stochastic Volatilities,” Journal of Finance. 42: 281-300. Hwang, H., and C. Mai, 1988. ”On the Equivalence of Tariffs and Quotas under Duopoly,” Journal of International Economics. 24: 373-380. Iwata, G., 1974. ”Measurement of Conjectural Variations in Oligopoly,” Econometrica. 42(5): 947-966. Karp, L. S., and A. F. McCalla, 1989. ”Dynamic Oligopoly in the Rice Export Market,” The Review of Economics and Statistics. 71(3): 462-470. Karp, L.S., and A. F. McCalla, 1983. ”Dynamic Games and International Trade: An Application to the World Corn Market,” American Journal of Agricultural Economics. 65: 641-650. Mandelbrot, B., 1963. “The Variation of Certain Speculative Prices,” Journal of Business. 36: 394-419. Markham, J. W., 1958. The fertilizer industry: study of an imperfect market. New York: Greenwood Pub Group. McCalla, A., 1966. ”A Duopoly Model for World Wheat Market Pricing,” Journal of Farm Economics. 48: 711-727. Nelson, C.R. and C.I. Plosser, 1992. "Trends and Random Walks in Macroeconomic Time Series: Some Evidence and Implications," Journal of Monetary Economics. 10: 139-62. Nelson, D. B., 1990. “Stationarity and Persistence in the GARCH(1,1) Model,” Econometric Theory. 6:318-334. Phillips, P. and P. Perron, 1988. “Testing for a Unit Root in Time Series Regression,” Biometrica. 75: 335-346 Said, S. E. and D. A. Dickey, 1984. “Testing for Unit Roots in Autoregressive Moving Average Models of Unknow Order,” Biometrika. 71:599-607. Sarris, A. H., and J. Freebairn, 1983. ”Endogenous Price Policies and International Wheat Prices,” American Journal of Agricultural Economics. 65: 214-224. Varian, H. R. 1984. Microeconomic analysis. New York, NY: W. W. Norton & Company, Inc.
摘要: 近年來,全球人口成長的持續增加,引發糧食不足之危機,造成國際糧食價格飆漲,且激勵農田種植耕地面積的擴大,進而帶動國際肥料的需求;由於原油乃為化學肥料原物料與運輸的主要原料與燃料,面對持續不斷攀升之原油價格,本研究以國際肥料價格與原油價格為出發點,使用時間序列G(ARCH)模型模擬其波動行為;並利用猜測變量方法估計國際肥料市場之結構。 實證結果顯示,其一利用波動模型分析2003年至2007年全球磷酸一銨、尿素、液氨、磷酸、磷礦石、氯化鉀六種肥料供給價格及原油價格波動,並估計原油價格波動對肥料波動之影響,實證結果顯示磷酸一銨波動模型為ARMA(3,2)-GARCH(1,1),尿素波動模型為ARMA(3,2)-GARCH(0,1),原油波動對此兩種肥料價格有顯著正向之影響。其二利用猜測變量模型估計國際肥料市場之結構,實證結果顯示尿素市場之猜測變量值為0.009347,為一Cournot-Nash均衡,若當市場的結構模擬為完全競爭市場時,其福利值將比寡占市場下的福利值增加了7百萬美元。
URI: http://hdl.handle.net/11455/28385
其他識別: U0005-2912200915453700
文章連結: http://www.airitilibrary.com/Publication/alDetailedMesh1?DocID=U0005-2912200915453700
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