주요 축산물 가격변동의 시계열적 특성

Time-Series Analysis of Livestock Prices and Volatilities

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.