A Study on the Price Changes of the Imported Crabs
Department of Trade
of Korea Maritime and Ocean University
This study tries to analyze the price changes of the imported live and frozen crabs which Korean people recently have consumed much more than before due to rapid per capita income increase in Korea. Crabs are one of the most popular fishery products in Korea.
Imported snow and king crabs are very high-priced fishery products and are mostly imported from Russia. So this study deals with the Russian crab imports. Also we devide these crabs into two categories such as live products and frozen products because frozen crab markets are different from live crab markets. We try to find out the difference between the price behaviors of the live and frozen crabs.
Our statistical data is a monthly time series data which ranges from 2012 to 2014. We calculated the monthly average of the live and frozen crab prices. We made some tests about unit roots and found that all data were non-stationary time series data. So we transformed the raw non-differenced data into first differenced data and made all data stationary data. We apply our data to GARCH models.
Our empirical results are as follows.
Firstly, the results under the assumption of normal distribution show better findings than those under the assumption of t distribution.
Secondly, α values are shown negative signs, which means that the directions of price changes in consecutive months are opposite. It shows us that the price changes have reactionary responses between consecutive months.
Thirdly, δ values have positive signs in live crabs, but negative signs in frozen crabs. this means that the price changes in live crabs in this period tend to maintain the same tendency in next consecutive periods, but the price changes in frozen crabs in this period tend to maintain the opposite tendency in next periods.
Fourthly, β values have large positive values, which means that the distribution of the price changes shows the trends of more risks between periods.
This study showed us many significant results, but have some shortcomings.
In future study, our time series data should be extended and we should trace out periodical tendencies using long time series data. The more comprehensive data will give more confidence on this study results and strengthen our implications obtained from our study. We have to consider the multiple regression methods using many independent variables and find out the main reasons of the price changes in these markets. This study has a significant meaning in making some attempts to find out the price behaviors in imported live and frozen crab market.
KEY WORDS : price changes 가격변동 GARCH model 일반화된 조건부 이분산 모형 unit root test 단위근 검정 stationary data 정상적인 자료