농업경제연구

Korean Agricultural Economics Association

제목 송아지생산안정제와 송아지가격 변동성
저자 정지현, 김민경
발행정보 62권 1호 (2021년 3월) 페이지 41~59
초록 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.
논문파일 KJAE(2021-Vol62No01)-Korean-03.pdf