水産經營論集 Vol 49 No 2 (p.21-35)

신선 물오징어의 도ㆍ소매시장 간 가격 변동성의 전이 및 비대칭성 분석에 관한 연구

A Study on Asymmetry Effect and Price Volatility Spillover between Wholesale and Retail Markets of Fresh squid
키워드 :
Fresh squid,Off-diagonal BEKK,Price volatility spillover,Asymmetry effect,Granger causality

목차

Abstract
Ⅰ. 서 론
Ⅱ. 분석방법
  1. 분석방법
  2. VAR(Vector Autoregressive) 모형
  3. Off-Diagonal BEKK 모형
Ⅲ. 실증분석
  1. 자료분석
  2. 적정시차 선정
  3. 그랜저인과성 검정
  4. Off-Diagonal BEKK 모형 분석
  5. 모형의 안정성 검정
Ⅳ. 결 론
REFERENCES

초록

Squid is a popular seafood in Korea. However, since the 2000s, the squid production has been declining. The unstable supply of the squid products may cause price fluctuations of fresh and chilled squid. These price fluctuations may be relatively more severe than them of other commodities, because the fresh and chilled squid can not be stored for a long period of time. Thus, this study analyzes the structural characteristics of price volatility and price asymmetry of fresh squid based on off-diagonal GARCH model. Data used to analysis of this study are daily wholesale and retail prices of fresh squid from January 1, 2006 to December 31, 2016 provided in the KAMIS. As theoretical approaches of this study, first of all, the stability of the time series is confirmed by the unit root test. Secondly, the causality between distribution channels is checked by the Granger causality test. Thirdly, the VAR model and the off-diagonal GARCH model are adopted to estimate asymmetry effect and price volatility spillover between distribution channels. Finally, the stability of the model is confirmed by multivariate Q-statistic and ARCH-LM test. In conclusion, fresh squid is found to have shock and volatility spillover between wholesale and retail prices as well as its own price. Also, volatility asymmetry effect is shown in own wholesale or retail price of fresh squid. Finally, this study shows that the decrease in the fresh squid retail price of t-1 period than the increase in the t-1 period has a greater impact on the volatility of the fresh squid wholesale price in t period.