The Exogenous Effect of Corn Prices on Hog Prices Using Ethanol Production and Corn Seed Research and Development as Instrumental Variables

This paper examines the relationship between corn prices and hog prices in the United States using monthly time-series data in a two-stage least squares regression. Ethanol production and various types of genetically modified corn seed research and development are used as instrumental variables for corn prices to account for endogeneity in the model, by removing changes in corn and hog prices that occur due to the reverse-causal relationship between the two commodities. Ethanol production was determined to be the strongest instruments for corn prices. The results indicate that increases in the price of corn increase the price of hog by a smaller, yet still significant magnitude.

本文采用两阶段最小二乘回归（two-stage least squares regression）方法，结合月度时间序列数据，探究美国玉米价格与生猪价格之间的关联关系。为解决模型中存在的内生性（endogeneity）问题，本文选取乙醇产量与各类转基因玉米种子研发活动作为玉米价格的工具变量（instrumental variables），以此剥离两类商品间反向因果关系所引发的玉米与生猪价格波动。研究证实，乙醇产量是针对玉米价格最为有效的工具变量。回归结果显示，玉米价格上涨会推高生猪价格，尽管影响幅度相对较小，但该影响仍具有统计学显著性。