台灣、日本、南韓玉米及黃豆進口價格之共整合分析

Abstract

玉米為我國主要畜牧生產之飼料來源，黃豆在我國主要用於加工，可製成食用油及豆粉，豆粉可作為畜牧生產之用。由於氣候因素之影響，玉米及黃豆在台灣之生產成本過高，農民種植意願低落；但隨著經濟成長，國內畜產農業對玉米及黃豆之需求逐年增加，而在國內產量極低的情況下，玉米與黃豆分別只有2%與1%左右之自給率，因此多以進口方式補足超額需求之缺口，其中美國為我國玉米與黃豆主要進口來源。由於國際大宗穀物自2006年10月至2008年8月起價格不但持續攀升甚至屢創歷史新高，使得國內飼料與黃豆製品相關產業加工成本攀升，分析玉米、黃豆到岸價格及國際市場之聯動性並以其作為價格預測之方式將有助於瞭解飼料進口成本。另由於台灣、日本和南韓地理位置接近、同為小農國家、糧食自給率低，由其是大宗穀物之自給率更低，幾乎仰賴進口，使得進口需求彈性小，即使國際糧價高漲仍需大量進口穀物，且三國同樣以美國為主要進口國家，探討日、韓及我國在玉米與黃豆進口價格之長期關聯性，可說明各國進口原料價格有無差異。因此，本研究以台灣玉米及黃豆作物作為分析對象，運用Johansen共整合分析探討美國玉米與黃豆出口市場至我國進口市場之價格關聯，並利用類似方式探討台灣、日本和南韓進口玉米及黃豆價格之長期關聯性。本研究實證結果顯示，無論是美國玉米出口市場與我國玉米進口市場亦或美國黃豆出口市場與我國黃豆進口市場間皆符合單一價格法則。再者，本研究將台灣、日本與南韓三國自美進口穀物海關價格進行Johansen共整合分析，分析結果顯示，美國出口至此三個國家之價格在長期下具有變動一致的趨勢，因此本研究認為美國出口至台灣、日本與南韓之玉米與黃豆作物並無地域上之差異，亦間接證明美國穀物出口市場與日本和南韓穀物進口市場符合單一價格法則。

Becaues the self-sufficiency ratio of corn and soybean in Taiwan are lower than 2% and 1%, most of the two crops sold in Taiwan comes from international suppliers, especially from the United States. As the international bulk grain price continues to rise and records high from October 2006 to August 2008, the international grain market supply and demand affect the import of our country, we are interested to know whether the law of one price holds for the export corn and soybean from the U.S. and the import grain market in Taiwan. By performing Johansen cointegration analysis, this paper aims to examine the correlation between the two prices. Secondly, due to the similar agricultural background, such as grographical location, they all net importers of farm products, the food self-sufficiency rate is low and most of the grain import comes from the U.S., we are interested to know whether the corn and soybean import prices from the U.S. are the same or not in Taiwan, Japan and South Korea, is there any regional differences? According to our empirical results, the first part shows that both export corn and soybean from the U.S. and the import grain in Taiwan are consistent with the law of one price. Further, we use Granger Causality test to find out that the grain export prices from the U.S. is leading import custom prices, it means that we can predict the import prices trend by observing the grain export prices. The secondary empirical result reflects that the import custom prices from the U.S. in Taiwan, Japan and South Korea have the same long-term fluctuation in the trend. it means that the U.S. corn and soybean exports to the three countries have no regional differences.