Ocean and Polar Research

Korea Institute of Ocean Science & Technology (한국해양과학기술원)
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A Leading-price Analysis of Wando Abalone Producer Prices by Shell Size Using VAR Model

VAR 모형을 이용한 크기별 완도 전복가격의 선도가격 분석

  • Nam, Jongoh (Division of Economics, College of Humanities & Social Sciences, Pukyong National University) ;
  • Sim, Seonghyun (Department of Applied Economics, Graduate School, Pukyong National University)
  • 남종오 (국립부경대학교 인문사회과학대학 경제학부) ;
  • 심성현 (국립부경대학교 일반대학원 응용경제학과)
  • Received : 2014.10.29
  • Accepted : 2014.12.03
  • Published : 2014.12.30
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Abstract

This study aims to analyze causality among Wando abalone producer prices by size using a vector autoregressive model to expiscate the leading-price of Wando abalone in various price classes by size per kg. This study, using an analytical approach, applies a unit-root test for stability of data, a Granger causality test to learn about interaction among price classes by size for Wando abalone, and a vector autoregressive model to estimate the statistical impact among t-1 variables used in the model. As a result of our leading-price analysis of Wando abalone producer prices by shell size using a VAR model, first, DF, PP, and KPSS tests showed that the Wando abalone monthly price change rate by size differentiated by logarithm were stable. Second, the Granger causality relationship analysis showed that the price change rate for big size abalone weakly led the price change rate for the small and medium sizes of abalone. Third, the vector autoregressive model showed that three price change rates of t-1 period variables statistically, significantly impacted price change rates of own size and other sizes in t period. Fourth, the impulse response analysis indicated that the impulse responses of structural shocks for price change rate for big size abalone was relatively more powerful in its own size and in other sizes than shocks emanating from other sizes. Fifth, the variance decomposition analysis indicated that the price change rate for big size abalone was relatively more influential than the price change rates for medium and small size abalone.

Keywords

References

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