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temporal and causal relationships among prices of major fish species in Thailand : A trend and cointegration analysis

temporal and causal relationships among prices of major fish species in Thailand : A trend and cointegration analysis. Amporn Laowapong Umesh Bastola Prof. Dr. Madan Dey FAO Value chain project workshop The university of Tokyo 9-11 December 2011. Presentation Outline. Background

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temporal and causal relationships among prices of major fish species in Thailand : A trend and cointegration analysis

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  1. temporal and causal relationships among prices of major fish species in Thailand : A trend and cointegration analysis AmpornLaowapong UmeshBastola Prof. Dr. MadanDey FAO Value chain project workshop The university of Tokyo 9-11 December 2011

  2. Presentation Outline • Background • Objectives • Data • Trend analysis in prices and margins • Econometric analysis • Summary and Conclusion

  3. Background • Thailand aquaculture / fisheries Total production = 3.78 million tons (140 B Baht, 4.7 B USD) Source: Laowapong, 2010

  4. Background…. • Export-Import Situation (2009) • Export • 1.88 million tons • 224.5 B Baht • 35% of total food export • Shrimp 38% • Canned tuna 24% • Import • 1.59 million tons • 68.5 B Baht • 35% of total food import • Tuna 52% • Fresh/chilled 38% Source: Laowapong, 2010

  5. Fish species studied • Seabass (Latescalcifer): Marine; pond; cages; domestic; 10% processed • Hybrid walking catfish (Clariussp.): Freshwater; pond (98%); smoked (20%); canned (10%) • Black tilapia: Freshwater; pond (83%); cages (14%). • Tuna: Thai vessels; imports; canned; exported (90%) • Vannamei Shrimp (Penaeusvanamei): Coastal; export • Black tiger shrimp (P. monodon)

  6. Objectives • To examine trends and seasonality in prices of different species at different levels of supply chain. • To assess extent of gross margin of wholesaler and retailers of different fish species, and check the variability in margins due to season. • To explore the causal relationships among price series of various fish species at different levels of supply chain.

  7. Data

  8. Trend in prices Catfish Seabass Tuna Tilapia

  9. Trend in prices…

  10. Seasonality in prices

  11. Seasonality in prices

  12. Gross Margins • Wholesale level • Retailer level • Four species: • Seabass • Catfish • Tilapia • Vinnamei shrimp

  13. Gross Margins….

  14. Seasonality in margins

  15. Econometric analysis

  16. Unit root test

  17. Granger Causality test *denotes null hypothesis rejected at 5%. ** denotes null hypothesis rejected at 1%.

  18. Cointegrationtest *MacKinnon-Haug-Michelis (1999) p-values

  19. Cointegrating Equations ln BR = 1.3692 ln TR………………….(i) ln ST = 0.8106 ln CT………………….(ii) ln V40 = 1.0322 ln V50………………(iii) ln V50 = 0.9688 ln V40………………(iv)

  20. Vector Error Correction Model Long-term adjustment Short-term adjustment

  21. VECM….

  22. VECM…

  23. Conclusion • Catfish and tilapia prices are found to be relatively stable over time whereas other price series show comparatively more fluctuations. • Price series at various levels of supply chain and those of different product types of same species are found to move in a similar fashion. • Prices series such as seabass farm and retail, tilapia farm and wholesale and skipjack tuna prices reveal some seasonal variation. • More explicit in shrimp prices, generally lower from May to December and higher in other months.

  24. Conclusion • Gross margins were lower at wholesale levels than at retail levels for all species except tilapia. • The average wholesale gross margins ranged from 7% to 51% and that at retail level ranged from 21% to 59%. • In case of seabass, the average percent margins were lower at both wholesale and retail markets. • Market power of retailers higher than that of wholesalers? • In general, no any specific seasonality in gross margin.

  25. Conclusions • Unidirectional Granger causality is found in TR and CT price, bi-directional Granger causality between V40 and V50. • One cointegrating equation between each pairs of series. • The statistically significant terms in VECM showed that 13 to 54 % of deviations were adjusted in the short-run. • TR and BR as well as CT and ST are found to move in opposite direction while that of shrimp of sizes 40 pcs/kg and 50 pcs/kg are found to move in similar direction.

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