The Journal of Fisheries Business Administration (수산경영론집)

The Korean Society of Fisheries Business Administration (한국수산경영학회)
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A Causality Analysis of the Hairtail Price by Distribution Channel Using a Vector Autoregressive Model

VAR 모형을 이용한 유통단계별 갈치가격의 인과성 분석

  • Kim, Cheol-Hyun (Department of Applied Economics, Graduate School, Pukyong National University) ;
  • Nam, Jong-Oh (Division of Economics, College of Humanities & Social Sciences, Pukyong National University)
  • 김철현 (부경대학교 응용경제학과) ;
  • 남종오 (부경대학교 경제학부)
  • Received : 2015.02.05
  • Accepted : 2015.04.15
  • Published : 2015.04.30
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Abstract

This study aims to analyze causalities among Hairtail prices by distribution channel using a vector autoregressive model. This study applies unit-root test for stability of data, uses Granger causality test to know interaction among Hairtail Prices by distribution channel, and employes the vector autoregressive model to estimate statistical impacts among t-2 period variables used in model. Analyzing results of this study are as follows. First, ADF, PP, and KPSS tests show that the change rate of Hairtail price by distribution channel differentiated by logarithm is stable. Second, a Granger causality test presents that the producer price of Hairtail leads the wholesale price and then the wholesale price leads the consumer price. Third, the vector autoregressive model suggests that the change rate of Hairtail producer price of t-2 period variables statistically, significantly impacts change rates of own, wholesale, and consumer prices at current period. Fourth, the impulse response analysis indicates that impulse responses of the structural shocks with a respectively distribution channel of the Hairtail prices are relatively more powerful in own distribution channel than in other distribution channels. Fifth, a forecast error variance decomposition of the Hairtail prices points out that the own price has relatively more powerful influence than other prices.

Keywords

References

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