주요 축산물 가격변동의 시계열적 특성

• 영문명: Time-Series Analysis of Livestock Prices and Volatilities
• 발행기관: 한국농식품정책학회
• 저자명: 강태훈(Tea hoon Kang)
• 간행물 정보: 『농업경영.정책연구』농업경영·정책연구 34권 2호, 369~388쪽, 전체 20쪽
• 주제분류: 농수해양 > 식품과학
• 파일형태: PDF
• 발행일자: 2007.06.30

영문 초록

This paper shows how the changes in the market circumstances have impacted on the stabilization of livestock prices by analyzing the trends in the livestock price time series and the volatility dynamics during past three decades or more. Analyzing the volatility dynamics helps price risk management in ranch farming. This paper considers monthly price changes of the representative livestock prices such as beef price, pork price, chicken price, and egg price. Distributions of these price series are neither normal distribution nor i.i.d., and all the price series considered contain serial dependences. According to the GARCH estimation, while conditional variance of pork price is fairly stable during the analyzed period except early 1980 s, those of beef price, chicken price and egg price are relatively unstable after 1990 s than before. Seasonalities are found in the prices of pork and chicken, but not in beef and egg. Unexpected market impacts affect little on the prices in a short-term, but are memorized in the prices in a long-term, which implies that livestock prices show little short-term responses on the market impact, but the market impact persists and influences on the following prices for a long time. Also, in all four prices, seasonalities are found in the volatilities.

목차

Abstract

I. 서론

II. 분석대상과 자료

III. 분석모형

IV. 분석결과

V. 요약 및 결론

참고문헌

키워드

Livestock Prices Beef Pork Chicken Egg Nonlinear Dynamics Seasonality GARCH Volatility