주요 소비 어종의 유통단계 간 가격 변동성의 전이 및 비대칭성에 관한 연구

Abstract

The production of fisheries in Korea has gradually decreased since 1993. In 2006, the production of the Korean coastal and offshore fisheries was the lowest since 1975. As the supply of the fisheries products in Korea has been unstable, its self-sufficiency rate has decreased as well. Unstable supply of fisheries products may cause price fluctuations of fresh and chilled fish. These price fluctuations may be relatively more severe than them of other commodities, because the fresh and chilled fish can not be stored for a long period of time. As a result, the price fluctuations can cause inefficient resource use and distort resource allocation and income distribution. These price fluctuations can provide disadvantages with all of producers, distributers, processors, and consumers. Thus, analysis related with price fluctuations as price volatility can produce meaningful and significant implications for at least fresh and chilled fish in Korea. This study analyzes the structural characteristics of price volatility and price asymmetry of major consumption species based on VAR-multivariate GARCH model. The major consumption species used to this study are composed of squid, mackerel, and hairtail. Major species occupy a large weight in terms of volume of fish production. Data used to analysis of this study are daily wholesale and retail prices of major consumption species from January 1, 2006 to December 31, 2016 provided in the KAMIS. Theoretical approaches of this study are as follows. First of all, the stability of the time series is confirmed by the unit root test. Secondly, causality between distribution channel is checked by the Granger causality test. Thirdly, the VAR model and the multivariate GARCH model are adopted to estimate asymmetry effect and price volatility spillover between distribution channel. Finally, the stability of the model is confirmed by multivariate Q statistic and ARCH-LM test. As the results of the analysis, first, squid and mackerel are found to have shock and volatility spillover between wholesale and retail prices as well as their own prices. Secondly, hairtail is found to have shock spillover between its own prices, but volatility spillover is not found between cross markets. Thirdly, volatility asymmetry effects are shown in own wholesale or retail prices of all three species. Finally, in cross-market volatility asymmetric analysis, this study shows that the decrease in the squid retail price of t-1 period than the increase in the t-1 period has a greater impact on the volatility of the squid wholesale price in t period. On the other hand, this study shows that the decreases in the mackerel and hairtail wholesale prices of t-1 period than the increase in the t-1 period have a greater impact on the volatility of the their retail prices in t period.