日本の牛肉市場における価格伝達に関する研究

抄録

In this study, a threshold vector error correction model was used to examine the vertical price transmission of the Japanese beef market from September 2001 to December 2017. The main findings are as follows. First, there was asymmetry price transmission in the Japanese beef market. In particular, an error correction model of cattle price revealed the asymmetric price transmission in the period from September 2006 to December 2017. Second, calf prices and cattle prices played a major role in price adjustment. In the period before August 2006, the asymmetry of price adjustment in calf price could be captured. Third, no causality for price transmission was observed during the period before August 2006 including BSE, but there was short run price causality for cattle, calf and dressed carcass prices on cattle price in the second period.