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Seasonal Integration and Co-Integration in the Prices of Key Aquaculture Species in the Philippines

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  • Rodriguez, U-Primo E.
  • Garcia, Yolanda T.
  • Sumaya, Marjorie-Ann Dator

Abstract

This paper investigates the relationship between retail and wholesale prices of milkfish (Chanoschanos), tilapia (Tilapianilotica), and tiger prawn (Peneaus monodon) using techniques that recognize the role of seasonal factors for testing orders of integration of and the existence of cointegration between these prices. This paper finds that seasonality plays an important role in explaining movements in the prices of these farmed species. This is so because, with the exception of the wholesale price of tiger prawn, unit roots occur at all frequencies for all of the prices that were examined. None of the pairs of prices were found to be cointegrated at all frequencies. However, the retail and wholesale prices of tilapia were found to be cointegrated at zero and annual frequencies. These findings suggest that regressions on the levels of retail and wholesale prices of milkfish and tiger prawn could lead to spurious results. Hence, price formation based on level of prices for these two aquaculture species can send wrong signals to the market stakeholders, i.e., producers, middlemen, and consumers.

Suggested Citation

  • Rodriguez, U-Primo E. & Garcia, Yolanda T. & Sumaya, Marjorie-Ann Dator, 2017. "Seasonal Integration and Co-Integration in the Prices of Key Aquaculture Species in the Philippines," Journal of Economics, Management & Agricultural Development, Journal of Economics, Management & Agricultural Development (JEMAD), vol. 3(01), June.
    • Handle: RePEc:ags:pjemad:309286
    DOI: 10.22004/ag.econ.309286
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    References listed on IDEAS

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    1. Hylleberg, S. & Engle, R. F. & Granger, C. W. J. & Yoo, B. S., 1990. "Seasonal integration and cointegration," Journal of Econometrics, Elsevier, vol. 44(1-2), pages 215-238.
    2. Schwert, G William, 2002. "Tests for Unit Roots: A Monte Carlo Investigation," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 5-17, January.
    3. Joseph Beaulieu, J. & Miron, Jeffrey A., 1993. "Seasonal unit roots in aggregate U.S. data," Journal of Econometrics, Elsevier, vol. 55(1-2), pages 305-328.
    4. Banerjee, Anindya, et al, 1986. "Exploring Equilibrium Relationships in Econometrics through Static Models: Some Monte Carlo Evidence," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 48(3), pages 253-277, August.
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    Cited by:

    1. Jia-Jan Lee, 2019. "The Study on the Correlation between Wholesale Price and Trading Volume in Taiwan Milkfish Market," Asian Journal of Economic Modelling, Asian Economic and Social Society, vol. 7(2), pages 73-81, June.

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