頁籤選單縮合
題名 | 石油衝擊、經濟政策不確定性和農產品價格=Oil Shock, Economic Policy Uncertainty and Agricultural Commodity Price |
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作者 | 陳智明; 陳家熙; 陳家豪; Chen, Chih-ming; Chen, Chia-his; Chen, Chia-hao; |
期刊 | 多國籍企業管理評論 |
出版日期 | 20180900 |
卷期 | 12:2 2018.09[民107.09] |
頁次 | 頁117-145 |
分類號 | 431.26 |
語文 | chi |
關鍵詞 | 農產品價格; SVAR模型; 衝擊; 非對稱影響; Agricultural commodity price; SVAR model; Shocks; Asymmetric effect; |
中文摘要 | 本文採用結構化向量自回歸模型(SVAR)研究了原油衝擊、匯率衝擊、經濟政策不確定性衝擊以及投機衝擊對農產品價格的影響。研究發現,總需求衝擊和投機衝擊會造成農產品價格的顯著上升,而政策不確定性衝擊和匯率衝擊會引起農產品價格下降。進一步分析發現,不同大小或者不同符號的衝擊會對農產品價格造成非對稱的影響,也就是說衝擊的影響存在非對成性。隨後的穩健性檢驗表明總需求衝擊和投機衝擊對農產品價格的影響是穩健的。 |
英文摘要 | In this paper, the structural vector autoregressive (SVAR) model is employed to study the impact of crude oil shocks, exchange rate shocks, the economic policy uncertainty and the speculative shocks on the price of agricultural products. The results show that the aggregate demand shocks and speculative shocks can cause a significant rise in the price of agricultural products, and policy uncertainty and exchange rate shocks will lead to a significant decline in the price. Further analysis indicates the impacts of shocks with different sizes or different symbols on the price are asymmetric. What's more, the impact of aggregate demand shocks and speculative shocks on the price is robust. |
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