多條台灣花卉供應鏈的門檻共整合分析

Abstract

傳統上，針對花卉供應鏈中批發價格的分析方法為共整合分析法，這是利用單一價格法則所延伸出來的統計方法。單一價格法則的意義在於產品物流會從價格低的市場流向價格高的市場，直到各地市場的價格達到一致。然而，單一價格法則的假設在交易成本的考量下卻是不可靠的，交易成本可由運輸成本、非對稱資訊、資產特性、交易頻率、市場規模、心理不確定性等因素所組成。由於交易成本可視為資產流動的阻力，所以在此論文中利用門檻共整合分析的技巧，將花卉價格增加額外的上下門檻限制。在此門檻模型下，分析四條花卉供應鏈中的月均價格，包括火鶴花、大菊、小菊、非洲菊、劍蘭、葵百合、香水百合、玫瑰等八種花卉的拍賣價格。論文中分析結果與傳統共整合分析進行比較，研究結果顯示門檻共整合確實為較適當且可行的市場整合分析模型。

Traditionally the wholesale prices of flower supply chains are analyzed from the viewpoint of Law of One Price (LOP) using co-integration techniques. The LOP means the products flow from the lower price sites to the higher ones till everywhere have the same price. However, the assumption of LOP is questionable if any transaction cost is considered such as transportation cost, asymmetric information, quality assurance, transaction frequency, scale of market, uncertainly. etc. In this thesis, threshold co-integration techniques are proposed for analyzed the flower prices problem with considering additional upper and lower thresholds. Here transaction costs are essentially treated as frictions for blocking the liquidity of products. Whenever the price difference is over any friction threshold, the products flow autonomously. For validating the proposed model, eight flowers including anthurium, chrysanthemum (2 kinds), gerbera, gladiolus, lily(2 kinds), and rose in four flower supply chains are analyzed using threshold co-integration techniques. Also the numerical outcomes are compared with the traditional co-integration calculation. The research results show the feasibility of the proposed model.