VAR을 이용한 고등어 도소매가격의 동태적 인과관계 분석

Abstract

The domestic mackerel production has had problems of decrease of its fishing since 2011 and product quality decline due to increase of catch of premature fish. Therefore, price fluctuation of mackerel, common fish dish is increasing and the concern for stabilization of dietary cost of people also becomes serious. Accordingly, this study aims at conducting causal relation analysis and dynamic analysis through VAR among time series analysis methods by using data of the actual whole-sales and retail prices of mackerel by date from January 4, 2010 to August 14, 2014 and the actual retail prices of mackerel by region(Seoul, Pusan, Daegu and Gwangju). In granger causal relations of the actual whole-sales and retail price of mackerel in Korea, the whole-sales price had causal relations with the retails prices and in VAR model analysis, the whole-sales prices had unilateral influences on the retail prices. In the dynamic analysis results using Impulse Response Function and Forecast Error Variance Decomposition Analysis, like the results above, the retail market had influences on the whole-sales market. Therefore, in order to stabilize the retail prices of mackerel, stabilization of the price in mackerel whole-sales market should be priority. As a result of the analysis of granger causal relations between retail prices of mackerel by region, it was causal relationship from Seoul to Pusan to Daegu to Gwangju. In VAR model analysis, retail prices in Seoul, Daegu and Gwangju showed mutual circulatory relations while those in Pusan and Daegue showed circulatory relations. In Impulse Response Function, for the outer impulse of retail price in Seoul, those in Pusan, Daegu and Gwangju were hugely affected. As a result of Forecast Error Variance Decomposition Analysis, effects of retail prices in Seoul shared huge part of those of other regions. Therefore, in order to stabilize the prices of mackerel, solution to stabilize those in Seoul should be priority.