( ) 2011 1 * 2001~2009 3~5 95% 10%~30% VAR ; 2008 2006 2005 2004 ( 2007) * ( 09&ZD044) - 71 -
: ; ; ; (Gardner1975) (2009) (Hayenga 1999) (Zhang et al.1995) (Willett et al.1997) Apergis Rezitis (2003) 1% (Izquierdo et al.2007; Mackowiak 0.75% 2007; Sosa 2008) ; ( 2006) (2009) 1997 2001 911 (2000) : et al. 2001) (Frigon R. Romain 1% 0.13% Gardner (2005) (2007) (2008) VAR (2010) (2005) (2008) 9 ; 2007-72 -
( ) 2011 1 ( ( ) 2008) ( 2008) ( ( ) 2009; 2008) (2009) ( 2009) ( ) ; (2009) (2009) 3 : ; ( ) 1 ; (2009) Rapso-manikis Sarris(1986)VAR 3 (2010) 7 (MS- 2007 VECM) Tokgoz(2009) : (2009) 2007~2008 32% 7.77 1-73 -
9500 2000~2007 30% (Amartya Sen2001) (2009) 2006 2006 5 (2006) Yuqing Zheng Henry W. Kinnucan Henry Thompson(2008) (2009) ( ) 2000 11 2 1 1 5% 3 ; 33 ; 1 9 ; 1 2001 11 9.1 ; 2 ; 1 19 5.3 ; 2 ; 1 100 16 12 50 2 23 5 2 4.3 ( 2010) - 74 -
( ) 2011 1 (VAR ) (2002) (Agricultural Chain) 9 VAR 2001 1 ~2009 1 2002~2009 ( ) ( ) 9 Eviews5.0 78% 66%( 2007) Augmented Dick- ey-fuller(1979) (ADF)(1) β=1 : (1) p t T μ t k μ t p t ; α β γ δ k β= 1 t p t p t p t (1) p t : 2 p t p t 1! "!#" $"" %%&! &(&&% : 5% P - 75 -
Á 1??? Y Á(4)ÁÂÃY??? I(1) VAR VAR ( 1?? L?? ÁÂ L??? L )?? VAR Y? ( 1?? L?? L??? L ) (6) ÁL? (1?? L?? L?? 2? Á ÁÂÃ 5 ( 2) (7) ( ) VAR VAR 輥 輯 訛 VAR (7) : VAR : ÁÂÃ Y? A C : E(ε t )=0E(ε t Y t-i )=0i=12 p; Y (2)Y t (n 1)? D (9) β i (n n) Y t-i (9) Y t i ε t VAR Eviews5.0 ( 3) VAR 1 VAR VAR 3 1 2 3 4 5 6 7 8 9 10 VAR 0.00 0.00 0.00 0.00 0.00-0.01-0.01-0.01-0.01-0.02 0.03 0.03 0.03 0.02 0.01 0.01 0.00 0.00-0.01-0.01 0.00 0.01 0.01 0.00-0.01-0.01-0.01-0.02-0.02-0.02 0.00 0.00 0.00 0.00 0.00 0.00 0.01 0.01 0.01 0.01 輥 輰 訛 Sims(1980) Wald : - 76 -?Á Y? ÁÂ Á(3)ÁÂÁÃÂÁY ÁÂÁÃÂÁY?? ÁÂÁÁÂÁ) Y ÁÂÃ(7)ÁÂÁÂA (5)ÁÂÃÂÃ AUÁ ÁÂÁÂCC? ÁÂ(8)ÁÂÁU DÁ ÁÂÁÂC 2 VAR 2 2 2 5 2 2 0.03 0.04 0.04 0.03 0.03 0.03 0.02 0.02 0.02 0.02 0.00 0.02 0.02 0.02 0.02 0.02 0.02 0.02 0.02 0.02 0.00 0.00 0.00 0.01 0.02 0.02 0.03 0.03 0.03 0.03 0.02 0.03 0.03 0.03 0.03 0.03 0.03 0.03 0.03 0.03 0.02 0.02 0.03 0.03 0.03 0.03 0.03 0.03 0.03 0.03 0.00 0.01 0.01 0.02 0.02 0.02 0.02 0.02 0.02 0.02 0.02 0.03 0.03 0.03 0.04 0.04 0.04 0.04 0.04 0.04 0.02 0.02 0.02 0.03 0.04 0.04 0.04 0.04 0.04 0.03 0.01 0.01 0.01 0.02 0.02 0.02 0.02 0.02 0.02 0.02 0.04 0.05 0.07 0.08 0.08 0.09 0.09 0.09 0.09 0.08 0.04 0.05 0.05 0.06 0.06 0.06 0.06 0.06 0.05 0.05 0.03 0.04 0.05 0.05 0.05 0.05 0.05 0.05 0.05 0.05 0.02 0.02 0.02 0.02 0.02 0.02 0.02 0.02 0.02 0.02 0.04 0.03 0.04 0.05 0.04 0.04 0.03 0.03 0.03 0.03 0.05 0.04 0.03 0.04 0.03 0.03 0.03 0.03 0.03 0.03 0.04 0.03 0.03 0.03 0.03 0.03 0.03 0.03 0.03 0.03
( ) 2011 1 3 1 0.03 0.05 5 7~8 09 10-0.01 0.03 1~5 0 6 ; 1-0.01; 2 3 0.042 0.03 10 0.01 05-0.01 8-0.02 1 4 0.05 5 6 0.032 3 0.04 0.04 7~10 0.03; 0.02 10 0.02 0.02; 7 0.01; 2 0.02 1 1% 0.02 0.03 ; 3%~5% 9% 1 2 0.02 0.03; 4 3~5 0.01 7 0.03 1 0.02 1%~3% 5 0.04 1% ; 3 0.02 1%~3% 0.04 10 0.03; 2 3 0.01 2%~5% 0.02 1 0.044~8 0.06 0.05 ; 1 0.03 3 3 0.01 4 ; 1 0.04 0.05; 0.02 1 0.04 6~9 0.09 4 1~6-77 -
10 8 90%1 100% 1.34% 10 91.02%; 5 10 1.43% 10 7.71%; 98%; 4 % 1 2 3 4 5 6 7 8 9 10 0.00 0.15 0.10 0.25 0.64 1.02 1.26 1.34 1.33 1.27 100 99.83 99.75 99.11 97.93 96.54 95.14 93.77 92.41 91.02 0.00 0.02 0.15 0.64 1.43 2.44 3.60 4.89 6.26 7.71 0.00 0.20 0.50 0.75 0.89 0.98 1.01 1.02 1.02 1.01 100 99.70 99.42 99.19 99.02 98.89 98.79 98.70 98.61 98.53 0.00 0.10 0.08 0.06 0.08 0.13 0.20 0.28 0.37 0.46 0.00 0.16 0.31 0.37 0.36 0.32 0.29 0.25 0.23 0.21 100 99.64 99.35 99.12 98.99 98.92 98.89 98.88 98.89 98.89 0.00 0.19 0.34 0.51 0.66 0.76 0.83 0.86 0.89 0.90 0.00 0.28 0.57 0.42 0.30 0.24 0.52 1.41 2.95 5.03 100 93.86 90.75 86.86 83.39 78.88 74.12 69.68 65.55 61.14 0.00 5.85 8.67 12.72 16.29 20.88 25.36 28.91 31.49 33.83 0.00 0.04 0.23 0.63 1.25 2.11 3.16 4.37 5.71 7.12 0.00 1.41 3.85 6.71 9.67 12.53 15.19 17.59 19.72 21.57 100 98.29 95.35 91.83 88.10 84.33 80.65 77.10 73.73 70.57 0.00 0.25 0.57 0.83 0.97 1.022 0.99 0.93 0.83 0.73 0.00 1.09 1.08 0.93 0.82 0.72 0.72 0.91 1.28 1.78 0.00 2.74 2.87 2.30 2.26 2.30 2.28 2.21 2.13 2.04 100 90.99 90.52 89.81 89.31 89.19 89.30 89.38 89.33 89.15 0.00 5.17 5.53 6.96 7.60 7.79 7.71 7.51 7.27 7.03 8 9 1.02%; 10 0.46% 10 98%; 9 0.9%; 4 0.37% 1 100%2 93.86% 10-78 -
61.14%; 2 5.85% 10 ( ) 2011 1 33.83%; 10 5.03% 2 98.29% 10 1. 70.57% 2 1.41% 10 21.57% 1% 3%~5% 1.02% 10 9% 7.12% 3~5 1 100% 2 90.99% 10 89.15%; 1%~3% 2 5.17% 6 7.79% ; 1% 1%~3% 2 2.74%3 2.87% 2%~5% 10 2.04% 10 1.78% 2. 95% 95% 60% 70%85% 60% 70%85% 30% 20% 15% 30% 20%15% - 79 -
3. 2. 2007 ; 3. 4. ; : 2008 11 1. : 2008 5 : 2009 7 : 2008 12-80 -
(2008 ) 2006 4 97 64 5100 73% 2009 ( ) 2011 1 (13) : : : VAR 2009 5 2009 8 (14) : 7 (15) : 2009 2010 (16) : 2009 9 (18) : 2008 1 (18) : 2006 5 (19) : 2009 5 (20) : 2002 5 (21) : : 2007 4 (22) IzquierdoA. Romero R. and Talvi E. 2007 Business Cycles in Latin America: the Role of External Shocks In- ( ) ter-american Development Bank Working Paper. (23)Mackowiak B.2007 External Shocks U. S. Monetary Policy and Macroeconomic Fluctuations in Emerging Markets Journal of Monetary EconomicsVol.54 pp.251~252. (24)Sosa S. 2008 External Shocks and Business Cycle LR FPE SC HQ Fluctuations in Mexico: How Important are U. S. Factors? IMF Working PaperWP/2008/100. 訛 輯 輥 : (25)Gardner B.1975 The Farm to Retail Price Spread in 2008 7 a Competitive Food Industry American Journal of Agricultural 訛 輰 輥 : Economics 1975 57 (3) pp.399~409. 2009 12 (26)Hayenga Marvin L. Miller 2001 Douglas Price Cycles and Asymmetric Price Transmission in the U.S. Pork Mar- (1) H.T. WeldegebrielA.J. Rayne: ket American Journal of Agricultural EconomicsVol.83 No.3 2007 4 (2) : pp.551~562. (27)Frigon M. M. Doyon and R. Romain 1999 Asymetry 2009 5 in Farm -Retail Price Transmission in the Northeastern Fluid (3) : Milk Market Research ReportNo.45Food Marketing Policy Center: Storrs Connecticut. 2006 6 (28)Zhang P. S. M. Fletcher and D. H. Carley 1995 Peanut (4) : :1992-2008 Price Transmission Asymmetry in Peanut Butter Agribusiness 11 2009 8 (1) pp.13~20. (5) : (29)Willett L. M. Hansmire and J. Bernard 1997 Asymmetric Price Response Behaviour of Red Delicious Apples A- 2005 4 (6) : gribusinessvol. 13(6) pp.649~658. 2008 5 (30)Nicholas Apergis and Anthony Rezitis 2003 Mean (7) : Spillover Effects in Agricultural Prices: The Case of Greece A- 2005 2 gribusiness Vol.19(4)pp.425~437. (8) : (31)Rapso-manikis Sarris1986 Forecasting with Bayesian 2000 1 Vector Autoregression: Five Years of Experience Journal of (9) : Business and Economic Statistics 4(7). 2010 1 (32)Tokgoz S.2009 The Impact of Energy Markets on the (10) : EU Agricultural Sector Center for Agricultural and Rural Development Iowa State University. 2009 6 (11) : (33)Yuqing Zheng Henry W. Kinnucan and Henry Thompson 2008 News and volatility of food prices Applied Eco- 2010 6 nomics40 pp.1629~1635. (12) : (34)Sims C. A. 1980 Macroeconomics and Reality E- ( )2009 2 conometrica48 pp.1~48-81 -