VAR 모형을 이용한 유통단계별 갈치가격의 인과성 분석

Abstract

This study aims to analyze causalities among Hairtail prices by distribution channel using vector autoregressive model. This study, as analyzing methods, applies unit-root test for stability of data, Granger causality test to know interaction among Hairtail Prices by distribution channel, and vector autoregressive model to estimate statistical impacts among t-2 period variables used in model. As analyzing results, first, ADF, PP, and KPSS tests showed that change rate of Hairtail price by distribution channel differentiated by logarithm was stable. Second, Granger causality relationship analysis showed that producer price of Hairtail led wholesale price and then wholesale price led consumer price. Third, vector autoregressive model showed that change rate of Hairtail producer price of t-1 period variables statistically, significantly impacted change rates of own price, wholesale price and consumer price of current period. Fourth, impulse response analysis indicated that impulse responses of structural shocks with the respectively distribution channel of Hairtail price were relatively more powerful in own distribution channel than in other distribution channels. Fifth, variance decomposition of producer price indicated that own price had relatively more powerful influence than wholesale price and consumer price. Wholesale price indicated that own price had relatively more powerful influence than producer price and consumer price. Consumer price indicated that own price had relatively more powerful influence than producer price and wholesale price.