請用此 Handle URI 來引用此文件: http://hdl.handle.net/11455/28936
標題: 台灣花卉批發市場花卉價格空間整合之分析
A Study on Price Spatial Integration in Taiwan Floral Wholesale Market
作者: 呂昱緯
Lu, Yu-Wei
關鍵字: 花卉價格
Flower prices
共整合向量
誤差修正模型
Granger因果關係
Co-integration
Vector Error Correction model
Granger Causaulity
出版社: 應用經濟學系所
引用: 一、中文部分 (一圖書 陳旭昇,2009 ,時間序列分析-總體經濟與財務金融之應用,台灣東華書局股份有限公司。 楊奕農,2009 ,時間序列分析-經濟與財務上的應用,雙葉書廊有限公司。 (二)期刊論文 王崇維,2008, 「台灣花卉市場整合關係的探討-變動門檻值共整合之應用」,國立中山大學經濟研究所碩士論文。 申維剛,2010,「順序拍賣的價格下滑異相-以台北花卉批發市場為例的實證分析」,國立清華大學經濟研究所碩士論文。 何彩華,2003 「台灣地區花卉批發市場整合性之研究」,國立中興大學行銷研究所碩士論文。 李建強、李源眀、王冠閔,2009,「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」,農業與經濟,42:63-102。 許莞婷,2010 ,「花卉價格互動關係之研究」 ,國立中興大學經濟學系碩士論文。 陳建宏,2011,「台灣花卉批發市場決價因素之研究」,朝陽科技大學財務金融系碩士論文。 陳政位、楊奕農、范宇平、莊雅男,2002,「台灣養殖魚類市場整合研究-以吳郭魚為例」,農業與經濟,28:51-69。 黃彥修、梁高榮,2005 ,「三條花卉供應鏈的價格共整合分析」,機械工業,5月:96-106。 黃致穎,2005,「多條台灣花卉供應鏈的門檻共整合分析」,國立交通大學工業工程研究所碩士論文。 曾嘉郁,2008,「油價與各國物價之長期關聯性分析」,銘傳大學經濟學系碩士論文。 二、西文部分 Alexander, C. and J. Wyeth, 1994, “Cointegration and Market Integration : An Application to Indonesian Rice Market,” The Journal of Development Studies, Vol.30,303-334. Arize, A. C., Osang, Thomas. and Slottje, D. J., 2000, “Exchange-Rate Volatility and Foreign Trade: Evidencefrom Thirteen LDC''s,” Journal of Business & Economic Statistics, Vol.18(1), 10-17. Balke, N. and Fomby, T. B. , 1997 , “Threshold cointegration,” International Economic Review, Vol.38, 627-645. Baulch, J., 1997 “Transfer Cost, Spatial Arbitrage and Testing for Food Marker Integration,” American Journal of Agricultural Economics, Vol.79,477-487 Dawson, P.J. and Dey, J. K. , 2002 “ Test for The Law of One Price : Rice Market Integration in Bangladesh. ” Journal of International Development, Vol.14, 473-484. Engle, R. F. and Granger, C. W. J. , 1987 “Co-Integration and Error Correction: Representation, Estimation, and Testing,” Econometrica, Vol.55, 251-276. Eryligit, K.Y and Karaman, S., 2011, Test for Spatial Market Integration and Law of One Price in Turkish Wheat Markets. Qual Quant 45, 1519-1530. Goodwin, B. K. and Piggot, N. E. , 2001 “Spatial Market Integration in The Presence of Threshold Effects,” American Journal of Agricultural Economics, Vol. 83, No. 2,302-317. Granger, C. W. J. and Newbold, P. , 1974 “Spurious Regression in Econometrics,” Journal of Econometrics, Vol. 2, 111-120. Hansen, H. and Baulch, B. and Tam, T. N. M. and Trung, L. D., 2008 “The Spatial Intergration of Paddy Market in Vietnam” Journal of Agricultural Economics,Vol.59,271-295. Hossian, M.I. and Verbeke, W.,2010 “Evaluation of Rice Markets Integration in Bangladesh.” The Lahore Journal of Economics,Vol.15:2, 77-96. Johansen, S. and Juselius, K., 1990, “Maximum Likelihood Estimation and Inference on Cointergration with Applications to the Demand for Money,” Oxford Bulletin of Economics Statistics, Vol.52, No.2, 169-210. Park, H. and Mjelde, J. W., and Bester, D. A. , 2007. “Time-varying Threshold Cointegration and The Law of One Price” Applied Economics, Vol.39, 1091-1105, Phillips, P. C. B. and Perron, P.,1988, “Testing for a Unit Root in Time Series Rgression,” Biometrika ,Vol.75, 335-346. Ravallion, M.,1986, “Testing Market Integration,” American Journal of Agricultural Economics, Vol. 68, 102-109, Said, S. E. and Dickey D. A.,1984, “Testing for Unit Root in Autoregression Moving Average Models for Unknown Order,” Biometrika, Vol.71, 599-607.
摘要: 本文利用台灣五處花卉批發市場中各項大宗花卉之日價格來探討市場與市場間是否存在價格整合之關係,並且進一步探討各市場之間長期以及短期之相互影響。研究期間為2004年的1月1日至2012年5月15日,共3059筆日資料,五處台灣花卉批發市場為台北、台中、彰化、台南及高雄市場,而選定的五項大宗花卉為火鶴花、小菊、非洲菊、香水百合及玫瑰。 實證結果顯示,不管是利用兩階段共整合檢定或者是Johansen共整合檢定都顯示台灣花卉批發市場之間存在長期的共整合關係。在確定批發市場存在共整合關係之後,便可以建立向量誤差修正模型來利用其誤差修正係數及共整和向量來探討長期相互影響關係。最後在誤差修正模型中利用Granger因果關係檢定來判定市場之間短期的相互影響。藉此長期及短期之市場間相互影響關係來探討市場之概況。結果顯示市場間之長短期關係會因為花卉種類的不同而有不同的相互關係。
In this study, the daily price of bulk flowers are analyzed to the price spatial integration relationship between the five floral wholesale markets.To further explore the long-term and short-term interaction between the various markets. The data are collected daily from January 1, 2003 to May 15, 2012.The five floral wholesale market is located in Taipei, Taichung, Changhua, Tainan and Kaohsiung, and the five bulk flowers are anthurium, chrisanthemym, gerbera, lily and rose. The empirical results show that, whether it is a two-stage integration test or Johansen co-integration test have shown that there is a long-term co-integration relationship between the five floral wholesale markets in Taiwan. In determining the wholesale market exist the relationship, we can establish the vector error correction model to understand the long-term interactions by using error correction coefficient and the co-integration vector. Finally, using the Granger causality test with vector error correction model to determine the short-term interactions between markets. The results showed that short-term and long-term interactions between the markets have different outcome because of the different types of flowers.
URI: http://hdl.handle.net/11455/28936
其他識別: U0005-2308201210034900
文章連結: http://www.airitilibrary.com/Publication/alDetailedMesh1?DocID=U0005-2308201210034900
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