A TIME SERIES ANALYSIS ON INTERRELATIONSHIPS AMONG U.S. AND KOREAN LIVESTOCK PRICES

다국어 초록 (Multilingual Abstract)

This study investigates the nature of price transmission mechanisms in the U.S. and Korean livestock sectors by evaluating dynamic price linkage models of farm, wholesale and retail prices. The focus of the study is primarily on discovering interrelationships among prices and changes in those interrelationships over time. In particular, the cross-commodity and cross- country effects are emphasized. The analytical tools utilized are time series techniques including stationarity tests, cointegration tests, impulse response functions, and forecast error decomposition. In order to analyze the potential for structural change in price interrelationships, gradual switching models are applied to identify structural breaking points. The livestock products covered in this study include beef, pork, and chicken. Aggregate average monthly data are used.
In most cases, a unidirectional causality relation is found; from farm to wholesale and retail prices. Most of the U.S. livestock prices reveal structural breaks in the mid or late 1970's while structural change in Korean livestock prices occurred in the mid or late 1980's. For each commodity price at a certain level of the marketing chain, there is evidence of asymmetric price transmission. Thus, prices in other levels of the market react differently to price increases as opposed to price decreases. In both the United States and Korea, shocks at the farm level are quickly transmitted to downstream marketing channels, whereas shocks at the retail market are not fully transmitted to upstream markets. A common feature found in both countries is that the farm price is the major source affecting other prices. U.S. livestock prices become more exogenous over the period studied implying that interrelationships among prices become weaker. In contrast, Korean prices are increasingly related to each other. It was confirmed that each retail price in both countries affected other prices to a certain extent.
The Korean financial crisis brought about structural change in U.S. livestock prices denoted in Korean currency. In general, little interrelationship between U.S. and Korean livestock prices is found with each price moving independently of each other. Only chicken prices of the two countries show some degree of interrelationship.

목차 (Table of Contents)

• ACKNOWLEDEMENTS = ii
• ABSTRACT = iv
• LIST OF TABLES = vi
• LIST OF FIGURES = x
• TABLE OF CONTENTS = xii
• Chapters 1. INTRODUCTION = 1
• 1.1 Motivation = 1
• 1.2 Objectives of the Study = 4
• 1.3 Organization of Dissertation = 5
• Chapters 2. LITERATURE SURVEY AND THEORETICAL BACKGROUND = 6
• 2.1 Literature Survey = 6
• 2.1.1 Price Transmission Analysis = 6
• 2.1.2 Causality, Lead and Lag, and Asymmetry in Price Transmission = 7
• 2.2 Theoretical Background = 22
• 2.2.1 Stationarity Test = 22
• 2.2.2 Vector Autoregression Regression = 25
• 2.2.3 Cointegration and the Vector Error Correction Model = 35
• 2.2.4 Test of Asymmetric Price Transmission = 42
• Chapters 3. STRUCTURAL CHANGES IN U.S. AND KOREAN LIVESTOCK PRICES = 46
• 3.1 Elements of Structural Changes = 46
• 3.2 Models of Structural Change = 50
• 3.3 Estimation Results = 54
• Chapters 4. EMPITICAL ANALYSIS OF U.S. LIVESTOCK PRICES = 70
• 4.1 Data Description and Sources = 70
• 4.2 Block Exogeneity, Stationarity and Cointegration Tests = 71
• 4.2.1 Block Exogeneity Test = 71
• 4.2.2 Stationarity Test = 74
• 4.2.3 Cointegration test = 77
• 4.3 Investigation of the Interrelationships among Price Series = 88
• 4.3.1 Interrelationships among Price Series(1950.1-1999.12) = 89
• 4.3.2 Changes in Interrelationships among Price Series by Regime = 116
• 4.4 Analysis of Asymmetric Price Transmission = 153
• 4.4.1 Cointegration and Block Exogencity Test = 154
• 4.4.2 Estimation and Test Results = 157
• Chapters 5. EMPITRICAL ANALYSIS OF KOREAN LIVESTOCK PRICES = 178
• 5.1 Outline of the Korean Livestock Industry = 178
• 5.1.1 Importance in National and Agricultural Economy = 178
• 5.1.2 Supply and Utilization of Livestock Products = 181
• 5.1.3 Marketing Channels of Livestock Products = 190
• 5.1.4 Livestock Policy and Current Issues = 198
• 5.2 Block Exogeneity, Stationarity and Cointegration Tests = 200
• 5.2.1 Block Exogeneity Test = 200
• 5.2.2 Stationarity Test = 202
• 5.2.3 Cointegration test = 205
• 5.3 Investigation of the Interrelationships among Korean Livestock Prices = 210
• 5.3.1 Interrelationships among Price Series in Full Period(1977.1-1999.12) = 211
• 5.3.2 Change in Interrelationships = 240
• 5.4 Analysis of Asymmetric Price Transmission = 285
• 5.4.1 Cointegration and Block Exogeneity Test = 285
• Chapters 6. ANALYSIS OF THE PRICE LINKAGE BETWEEN U.S. AND KOREAN LIVESTOCK PRODUCT PRICES = 309
• 6.1 Data Sources and Description = 309
• 6.2 Stationarity, Block Exogeneity and Cointegration Tests = 310
• 6.2.1 Stationarity Test = 310
• 6.2.2 Block Exogeneity Test = 317
• 6.2.3 Cointegration Test = 319
• 6.3 Impulse response function and Forecast error variance decomposition = 323
• 6.3.1 Estimation Results of the Models = 323
• 6.3.2 Impluse Response Function Analysis = 328
• 6.3.3 Forecast Error Variance Decomposition = 338
• Chapters 7. SUMMARY AND CONCLUSION = 343
• 7.1 Comparative Discussion = 344
• 7.1.1 U.S. Livestock Prices = 344
• 7.1.2 Comparisons of Results of U.S. and Korean Livestock Price Analysis = 349
• 7.1.3 Summary of Linkages Between U.S. and Korean Livestock Prices = 359
• 7.2 Conclusion = 362
• References = 364
• VITA = 374