Dynamic Causal Relationship Among Eumseong, Jeju Pork and Jeju Black Pork Scalding Wholesale Prices
2017
Kim, W.T., Korea Rural Community and Corporation, Naju, Republic of Korea
This study analyzed dynamic causal relationship among Eumseong pork, Jeju pork and Jeju black pork scalding wholesale prices. Two different methods were used for the stationarity test: (1) ADF, PP, KPSS test without considering breakpoint and (2) Zivot-Andrews test considering breakpoint. The three pork wholesale prices were found to be non-stationary and FMD shock did not affect non-stationarity of the three series. Although Eumseong pork, Jeju pork and Jeju black pork wholesale prices are non-stationary in levels, Johansen cointegration test and VECM (vector error correction model) showed that the three prices were cointegrated, which implied that there existed a long- and short-run equilibrium relationship among the three prices. Granger-causality tests showed that the Jeju pork prices had a strong causal effect on the eumseong pork prices, but there was not any causal relationship between the Jeju black pork prices and the Eumseong pork prices. Furthermore the variance of Jeju black pork wholesale prices was different from the that of Eumseong and Jeju pork wholesale prices, and both Jeju black pork. Therefore the Jeju black pork wholesale prices should be excepted from the national average pork wholesale prices.
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