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This paper forecasts one-month and twelve-month ahead prices of the real producer price of the Korean laver farmed with high price fluctuations by month. To forecast the one-month and twelve-month ahead real producer prices of the farmed laver, this paper uses monthly data (98 observations) from October 2004 to November 2012 and also adopts several econometrics methods such as the multiple regression model, the autoregressive integrated moving average model, and the vector error correction model.
As a result, the one-month and twelve-month ahead real producer prices of the laver forecasted by the multiple regression model had relatively lower prediction errors than ones of several ARIMA models and a VECM model.
In particular, first, the one-month and twelve-month ahead real producer prices of the laver forecasted by the multiple regression model was 945.11 won and 1,003.32 won per kg with prediction errors of 58.11 won and ?7.68 won. Secondly, the one-month and twelve-month ahead prices of the ARIMA(1,0,0) model was forecasted as 1,017.40 won and 721.33 won per kg with prediction errors of 130.40 won and ?289.67 won. Thirdly, the one-month and twelve-month ahead prices of the laver based on the VECM model was estimated as 1,194.45 won and 623.04 won per kg with prediction errors of 307.45 won and ?387.96, respectively.
However, in comparison among a root mean squared error, a mean absolute error, a mean absolute percentage error, and a Theil inequality coefficient, the one-month and twelve-month ahead prices of farmed laver by the multiple regression model was fitter than ones by the ARIMA(1,0,0) and the VECM.
In conclusion, this paper suggests that out-of-sample forecasts as 36 months ahead using Diebold & Mariano test need in order to find the best model among the three models.
As a result, the one-month and twelve-month ahead real producer prices of the laver forecasted by the multiple regression model had relatively lower prediction errors than ones of several ARIMA models and a VECM model.
In particular, first, the one-month and twelve-month ahead real producer prices of the laver forecasted by the multiple regression model was 945.11 won and 1,003.32 won per kg with prediction errors of 58.11 won and ?7.68 won. Secondly, the one-month and twelve-month ahead prices of the ARIMA(1,0,0) model was forecasted as 1,017.40 won and 721.33 won per kg with prediction errors of 130.40 won and ?289.67 won. Thirdly, the one-month and twelve-month ahead prices of the laver based on the VECM model was estimated as 1,194.45 won and 623.04 won per kg with prediction errors of 307.45 won and ?387.96, respectively.
However, in comparison among a root mean squared error, a mean absolute error, a mean absolute percentage error, and a Theil inequality coefficient, the one-month and twelve-month ahead prices of farmed laver by the multiple regression model was fitter than ones by the ARIMA(1,0,0) and the VECM.
In conclusion, this paper suggests that out-of-sample forecasts as 36 months ahead using Diebold & Mariano test need in order to find the best model among the three models.
목차
Abstract
Ⅰ. 서론
Ⅱ. 김 양식 현황 분석
Ⅲ. 예측 모형 및 실증분석
Ⅳ. 요약 및 결론
참고문헌
참고문헌 (36)
참고문헌 신청
1. [학술지(정기간행물)] - 강석규 / 2001 / 굴 산지시장의 위판량과 가격관계 / 수산경영론집 32 (1) : 1 ~ 14
2. [학술지(정기간행물)] - 고봉현 / 2009 / 수산물 시장에서의 양식어류 가격변동성·계절성·요일효과에 관한 연구 －노량진수산시장의 넙치와 조피볼락을 중심으로－ / 수산경영론집 40 (2) : 49 ~ 70
3. [보고서] - 권오복 / 2001 / 시계열 모델을 이용한 쇠고기 가격 전망 모델 개발
4. [학술지(정기간행물)] - 김석현 / 1998 / 산지 돼지가격 변동 패턴과 그 원인 / 농촌경제 21 : 19 ~ 31
5. [학위논문] - 김현용 / 2000 / WTO 관세인하가 수산물 수급에 미치는 영향과 대책 / 박사 / 부경대학교 대학원
2. [학술지(정기간행물)] - 고봉현 / 2009 / 수산물 시장에서의 양식어류 가격변동성·계절성·요일효과에 관한 연구 －노량진수산시장의 넙치와 조피볼락을 중심으로－ / 수산경영론집 40 (2) : 49 ~ 70
3. [보고서] - 권오복 / 2001 / 시계열 모델을 이용한 쇠고기 가격 전망 모델 개발
4. [학술지(정기간행물)] - 김석현 / 1998 / 산지 돼지가격 변동 패턴과 그 원인 / 농촌경제 21 : 19 ~ 31
5. [학위논문] - 김현용 / 2000 / WTO 관세인하가 수산물 수급에 미치는 영향과 대책 / 박사 / 부경대학교 대학원
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UCI(KEPA) : I410-ECN-0101-2016-529-001156768