송아지생산안정제와 송아지가격 변동성

The Calf Production Stabilization Program and Its Impact on the Volatility of Hanwoo Calf Prices

The calf production stabilization(CPS) program has a goal of stabilizing calf production by supporting calf prices when the prices fall below a reference price. The calf’s prices appeared to be less volatile after this program was launched in the year 2001. However, the price became more volatile, after several conditions for supporting prices in the CPS program were modified in the year 2012. Thus, this study analyzed the effect of shifts in calf production stabilization program on the volatility of Hanwoo calf prices, considering the asymmetric effect of price volatility. GARCH, TGARCH, and EGARCH models were employed to measure price volatility changes caused by the shifts in the CPS program. This study found that the price was less volatile when the CPS program was properly activated, indicating the CPS program had worked well as a price risk management tool that does not exist any longer. This study also detected the asymmetric effects of price volatilities of the calves. The significant asymmetric effect implies that the market responds more significantly to the bad news than the good news.