한우시장의 유통단계별 가격과 변동성의 전이 MGARCH-CCC와 VCC 분석

• 영문명: Transmission of Price and Volatiliy over Marketing Channel in Hanwoo Market: MGARCH-CCC and VCC Analyses
• 발행기관: 한국농식품정책학회
• 저자명: 정지현(Ji Hyun Jeong) 김민경(MinKyoung Kim)
• 간행물 정보: 『농업경영.정책연구』농업경영·정책연구 48권 1호, 18~37쪽, 전체 20쪽
• 주제분류: 농수해양 > 식품과학
• 파일형태: PDF
• 발행일자: 2021.03.31

영문 초록

This study analyzed the transmission of price and price volatility in the Hanwoo meat market using MGARCH-CCC and MGARCH-VCC models. This study specifically explores dynamic conditional correlations in both prices and volatilities over the marketing channel by considering relationships between the correlation of prices and that of price volatilities. The transmission of prices in the Hanwoo meat market has been actively studied to understand the market’s efficiency and the effect of leading prices in the marketing channel. However, most of the previous studies did not consider the relationship between the correlation of prices and that of volatilities. This study found that wholesale prices led to retail prices. Wholesale prices showed the presence of ARCH effect only, implying that a shock that occurred in a previous period affects price volatility this month, but the impact does not last long. Meanwhile, retail prices exhibited both ARCH effect and GARCH effect, indicating that the impact of a shock did not last for a long period of time. This study also found that a significant positive coupling behavior between wholesale and retail price volatilities, indicating that wholesale and retail markets share the risk. However, the coupling effect has decreased since the year 2015.

목차

Ⅰ. 서론

Ⅱ. MGARCH-CCC와 MGARCH-VCC

Ⅲ. 분석자료

Ⅳ. 분석결과

Ⅴ. 결론

키워드

Hanwoo Price Price Volatility Multivariate-GARCH MGARCH-CCC MGARCH-VCC