Journal of the Korean Data and Information Science Society

The Korean Data and Information Science Society (한국데이터정보과학회)
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Linear causality in moments from climate to international crop prices

국제곡물가격에 대한 기후의 고차 선형 적률 인과관계 연구

  • Jeong, Kiho (School of Economics and Trade, Kyungpook National University)
  • Received : 2016.12.19
  • Accepted : 2017.01.12
  • Published : 2017.01.31
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Abstract

This paper analyzes the causal relationship from climate to international grain prices. Although climate is an important factor affecting the grain markets, it has been restrictively considered in previous studies analyzing the causal relationship of international grain prices. In this paper, monthly data from May 1987 to 2013 is used for the causal analysis in which the sea surface temperature (SST), a representative global climate variable, and the international prices of wheat, corn, and soybean, the world's three major crops, are considered. The test method is the parametric version of the nonparametric test for causality in high-order moments suggested by Nishiyama et al. (2011). The results show that the climate causes in the first moment the prices of all the three grains and causes in the second moment the prices of corn and soybean, but does not cause in the third moment any of the three grain prices.

본 논문은 기후와 국제곡물가격의 인과관계를 분석한다. 기후는 곡물시장에 영향을 미치는 중요한 요인이지만 국제곡물가격의 인과관계를 분석한 선행연구는 제한적이다. 본 논문은 대표적인 세계기후 변수인 해양표면온도 (sea surface temperature; SST)와 세계 3대 곡물인 밀, 옥수수, 콩의 국제가격을 이용하여 1987년 5월부터 2013년 7월까지 기간의 월별자료를 분석하였다. 분석방법으로서 비모수 커널방법으로 제시된 고차 적률 인과관계 개념 (Nishiyama 등, 2011)을 모수적인 방법으로 변환하여 적용하였다. 분석결과, 기후는 1차 적률에서 3개 곡물가격 모두에 대해 그리고 2차 적률에서 옥수수와 콩의 가격에 대해 각각 인과관계를 가지며 3차 적률에서는 3개 곡물가격 모두에 대해 인과관계를 갖지 않는 것으로 나타났다.

Keywords

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