臺灣博碩士論文加值系統

本研究以國際粗糖價格和砂糖價格為研究對象，目的是探討國際粗糖和砂糖價格之互動關係，利用共整合與誤差修正模型進行實證研究。並將國際粗糖和砂糖價格分成漲和跌兩種變化，探討粗糖和砂糖價格失衡時之調整機制，重要發現如下：
（一）全球甘蔗種植面積逐漸集中並呈現寡佔現象
全球甘蔗種植面積最大的國家佔全球的比率從18%逐年上升到35%左右。每年的前四名(CR4:Top four-firm Concentration Ratio)之種植面積，全球的比率從52%逐年上升到將近66%，HHI（Herfindahl-Hirschman index，赫芬達爾-赫希曼指數）從0.0931逐年增加到 0.1728，此顯示全球蔗糖產業的集中度提高並呈現寡佔現象。

（二）國際粗糖價格和砂糖價格存在不對稱門檻共整合關係
利用TAR (Threshold autoregressive) 及MTAR (Momentum Threshold autoregressive) 共整合的一致性門檻τ（及τm）及將誤差變動分為兩種體制，比較不同體制下的價格調整路徑，估計顯示粗糖價格和砂糖價格之間，存在不對稱門檻共整合關係及存在動量門檻共整合關係。國際粗糖和砂糖價格存在長期之轉嫁關係。由於存在共整，表示砂糖價格的短期動態調整可透過誤差修正模型呈現。

（三）國際粗糖價格與砂糖價格存在不對稱之調整
砂糖價格受到前一期價格的漲跌有顯著不對稱的調整，表示砂糖價格變動之調整呈現短期不對稱的調整。砂糖價格對粗糖價格衝擊之累積反應看出，砂糖價格對粗糖價格的影響並無明顯差異。但粗糖價格除受到自己本身前期價格的漲跌有不對稱調整外，前期砂糖價格變動亦有不對稱的轉嫁效果。

The objects of this study focused on the global sugar prices both of raw sugar and refined sugar. The purpose is to explore the price interaction between raw sugar and refined sugar. To do empirical study, this research used co-integration and error correction model as a method to analyze. To explore the adjustment mechanism during price disequilibrium happened between raw sugar and refined sugar, this study separated international sugar price into high and low level scheme. The important findings as follows:
1.Acreages of global sugarcane gradually concentrated and indicated oligopoly phenomenon.
The largest country in the world of the global sugarcane acreage rose from 18% to about 35 annually. Global ratio for the top four acreage of sugarcane increased from 52% to nearly 66% year by year. The index of HHI rose from 0.0931 to 0.1728. This indicated that the concentration of global sugar industry was increased and showed an oligopoly phenomenon.

2.World prices of raw sugar and refined sugar indicated a threshold co-integration in the long term
With the consistent threshold value of and , generated from the threshold autoregressive co-integration (TAR) and momentum threshold autoregressive co-integration (MTAR) respectively, separates the change of error term into two schemes. To compare the path of price adjustment on different schemes, estimation showed that price of raw sugar and refined sugar exist the relationships of asymmetric threshold co-integration and moment threshold co-integration. Global price of raw sugar and refined sugar exist a long term transmission relationship. Due to existing co-integration, it indicated that short term dynamic adjustment of the refined sugar price can be presented through error correction model.
3.World prices of raw sugar and refined sugar existed a relationship of asymmetrical transmission
The price of refined sugar showed an asymmetric adjustment and significantly influenced by the up/down of its one lag price. This indicated an asymmetric adjustment of price change on refined sugar in the short term. Based on the accumulation response from the price impact of refined sugar on raw sugar, it showed that refined sugar price did not significant impact on raw sugar price. But for raw sugar price, in addition to the up/down of its lag price showed an asymmetric adjustment, the lag price change of refined sugar also indicated an asymmetric transmission effect.

摘要I
AbstractIII
目錄V
圖目錄VI
表目錄VII
第一章 緒論1
第一節 研究背景1
第二節 研究動機6
第三節 研究目的7
第四節 研究方法8
第五節 本文貢獻及架構9
第二章 文獻探討11
第一節 國際蔗糖產業文獻11
第二節 時間序列共整合文獻14
第三節 價格不對稱傳遞之文獻17
第三章 全球蔗糖產銷概況與模型析析21
第一節 全球原料甘蔗種植面積之分布概況24
第二節 全球原料甘蔗種植產量之分布概況29
第三節 模型設計34
第四章 實證結果與分析46
第一節 變數定義與單根檢定46
第二節 國際粗糖與砂糖價格之均衡分析47
第三節 國際粗糖與砂糖價格之門檻共整合與動量門檻共整合分析49
第四節 國際粗糖與砂糖價格之轉嫁調整50
第五節 最適落後期數52
第五章 結論58
參考文獻 62

圖目錄
圖1-1 國內蔗糖生產量4
圖3-1 全球甘蔗種植面積前四大國家(CR4)26
圖3-2 全球甘蔗種植面積HHI指標27
圖3-3 全球甘蔗種植面積E係數29
圖3-4 全球甘蔗種植產量前四大國家(CR4)30
圖3-5 全球甘蔗種植產量HHI指標32
圖3-6 全球甘蔗種植產量E係數33
圖4-1 TAR最佳門檻選取50
圖4-2 MTAR最佳門檻選取50
圖4-3 衝擊效果反映56

表目錄
表1-1 近年來國內蔗糖廠消與進口數量表5
表1-2 近年來國人每人每日營養熱量攝取概況表6
表3-1 全球甘蔗前四個最大國家種植面積之市場佔有率年表25
表3-2 全球甘蔗種植面積之HHI指標年表27
表3-3 全球甘蔗種植面積之E係數市場佔有率年表28
表3-4 全球甘蔗前四個最大國家種植產量之市場佔有率年表30
表3-5 全球甘蔗種植產量之HHI市場佔有率年表31
表3-6 全球甘蔗種植產量之E係數市場佔有率年表33
表4-1 國際蔗糖價格之單根檢定46
表4-2 國際粗糖和砂糖的長期價格關係47
表4-3 門檻共整合TAR與MTAR共整合檢定51
表4-4 Granger成對因果關係檢定結果52
表4-5 VAR最適落後期數選取53
表4-6 MTAR門檻共整合VECM54
表4-7 考慮短期不對稱之MTAR門檻共整合VECM55
表4-8 國際蔗糖價格不對稱檢定57

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台灣糖業公司 http://www.taisugar.com.tw/chinese/index.aspx
行政院農委會 http://www.coa.gov.tw/show_index.php
美國農業部 (USDA) http://www.usda.gov/wps/portal/usda/usdahome
倫敦國際金融期貨交易所 (LIFFE) http://globalderivatives.nyx.com
聯合國糧農組織 (FAO) http://www.fao.org/index_en.htm