Ocean and Polar Research

  • 제40권1호
  • /
  • Pages.49-58
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  • 2018
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  • 1598-141X(pISSN)
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  • 2234-7313(eISSN)
한국해양과학기술원 (Korea Institute of Ocean Science & Technology)
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오차수정모형을 이용한 갈치 시장가격 간의 인과관계 분석

A Causality Test on Hairtail Prices among Import and Domestic Markets Using a Vector Error Correction Model(VECM)

  • 김규민 (국립부경대학교 수산과학대학 해양수산경영학과) ;
  • 김도훈 (국립부경대학교 수산과학대학 해양수산경영학과)
  • Kim, Kyu-Min (Department of Marine & Fisheries Business and Economics, College of Fisheries Sciences, Pukyong National University) ;
  • Kim, Do-Hoon (Department of Marine & Fisheries Business and Economics, College of Fisheries Sciences, Pukyong National University)
  • 투고 : 2018.02.01
  • 심사 : 2018.03.22
  • 발행 : 2018.03.30
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초록

This study aimed to analyze the causality of hairtail prices among import and domestic distribution channels using a Vector Error Correction Model(VECM). The results are as follows. First, since the ADF unit-root test suggests that each of the price variables, apart from retail price, has a unit root, the price variables should be 1st-differenced to secure the stability of the prices. Next, through the Johansen co-integration test, it was discovered that there are long-term relationships among the price variables. On the basis of the co-integration test, VECM analysis shows that the producer price has a long-run balance with the import and wholesale prices. In particular, when the prices deviate from the balance, the producer price dynamically adjusts to return to the long-term relationship among prices. It also indicates that the producer price has an impact on the import, wholesale, and retail prices in the short-term, and the import price has an influence on the producer and wholesale prices. In addition, the impulse response analysis demonstrates that the impulse of import and producer prices has a lasting impact on each of the prices.

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참고문헌

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