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TEMPORAL AND CAUSAL RELATIONSHIPS AMONG PRICES OF
MAJOR FISH SPECIES IN THAILAND :
A TREND AND COINTEGRATION ANALYSIS
Amporn LaowapongUmesh Bastola
Prof. Dr. Madan DeyFAO Value chain project workshop
The university of Tokyo9-11 December 2011
Presentation Outline
Background
Objectives
Data
Trend analysis in prices and margins
Econometric analysis
Summary and Conclusion
Background Thailand aquaculture / fisheries
Total production = 3.78 million tons (140 B Baht, 4.7 B USD)
Source: Laowapong, 2010
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
Fish species studied Seabass (Lates calcifer): Marine;
pond; cages; domestic; 10% processed
Hybrid walking catfish (Clarius sp.): Freshwater; pond (98%); smoked (20%); canned (10%)
Black tilapia: Freshwater; pond (83%); cages (14%).
Tuna: Thai vessels; imports; canned; exported (90%)
Vannamei Shrimp (Penaeus vanamei): Coastal; export
Black tiger shrimp (P. monodon)
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.
DataSpecies Level Symbol Time period Unit Average S.D. C.V. SourceSeabass Farm BF Jan-05 - July-10 Baht/kg 108.75 9.59 8.82 MOAC
Wholesale BW Jan-05 - May-10 Baht/kg 116.48 10.65 9.14 MOACRetail BR Jan-05 - July-10 Baht/kg 140.84 23.92 16.98 MoC
Hybrid Walking Catfish
Farm CF Jan-03 - Sep-10 Baht/kg 26.98 3.08 11.41 MoACWholesale CW Jan-03 - Aug-10 Baht/kg 30.12 3.15 10.46 MoAC Retail CR Jan-03 - Oct-10 Baht/kg 46.45 6.33 13.62 MoC
Tilapia Farm TF Jan-03 - Sep-10 Baht/kg 19.47 3.11 15.98 MoACWholesale TW Jan-03 - May-10 Baht/kg 29.25 4.57 15.61 MoACRetail TR Jan-03 - Oct-10 Baht/kg 37.91 4.64 12.25 MoC
Tuna Skipjack ST Jan-05 - June-10 US$/kg 12.09 3.43 28.37 GlobefishCanned CT Jan-05 - June-10 US$/carton 21.76 4.88 22.42 Globefish
Vannamei Shrimp (50pcs/kg)
Farm VF Jan-05 - Sep-10 Baht/kg 119.28 14.68 12.31 MoACWholesale VW Jan-05 - Sep-10 Baht/kg 135.58 18.31 13.50 DOF Retail VR Jan-05 - Sep-10 Baht/kg 215.48 19.24 8.93 MOC
Vannamei Shrimp Wholesale
40 pcs/kg V40 Oct-03 - Oct-10 Baht/kg 161.45 23.30 14.43 DOF60 pcs/kg V60 Oct-03 - Oct-10 Baht/kg 118.68 14.96 12.61 DOF70 pcs/kg V70 Oct-03 - Oct-10 Baht/kg 109.04 13.05 11.97 DOF80 pcs/kg V80 Oct-03 - Oct-10 Baht/kg 100.45 11.83 11.78 DOF
Black Tiger Shrimp Wholesale
40 pcs/kg B40 Jan-01 - July-07 Baht/kg 238.37 45.83 19.23 Central market50 pcs/kg B50 Jan-01 - July-07 Baht/kg 199.75 45.19 22.63 Central market60 pcs/kg B60 Jan-01 - July-07 Baht/kg 173.81 40.31 23.19 Central market70 pcs/kg B70 Jan-01 - July-07 Baht/kg 153.52 35.74 23.28 Central market80 pcs/kg B80 Jan-01 - July-07 Baht/kg 138.43 30.43 21.98 Central market
Trend in prices
Jan-05
Jun-05
Nov-05
Apr-06
Sep-06
Feb-07
Jul-0
7
Dec-07
May-08
Oct-08
Mar-0
9
Aug-09
Jan-100
50
100
150
200Farm Gate Price Wholesale PriceRetail Price
Pric
e (B
aht/
Kg)
Jan-
03Au
g-03
Mar
-04
Oct
-04
May
-05
Dec-
05Ju
l-06
Feb-
07Se
p-07
Apr-
08N
ov-0
8Ju
n-09
Jan-
10Au
g-10
0102030405060
Farm Gate Price Wholesale Price Retail Price
Pric
e (B
aht/
Kg)
Seabass Catfish
Jan-03Ju
l-03
Jan-04Ju
l-04
Jan-05Ju
l-05
Jan-06Ju
l-06
Jan-07Ju
l-07
Jan-08Ju
l-08
Jan-09Ju
l-09
Jan-100
10
20
30
40
50
Farm Gate Price Wholesale PriceRetail Price
Pric
e (B
aht/
Kg)
Jan-
05Ap
r-05
Jul-0
5O
ct-0
5Ja
n-06
Apr-
06Ju
l-06
Oct
-06
Jan-
07Ap
r-07
Jul-0
7O
ct-0
7Ja
n-08
Apr-
08Ju
l-08
Oct
-08
Jan-
09Ap
r-09
Jul-0
9O
ct-0
9Ja
n-10
Apr-
10
05
101520253035
Skipjack Tuna (USD/Kg)Canned Tuna (USD/Carton)
Pric
e
Tilapia Tuna
Oct-03
May-04
Dec-04
Jul-0
5
Feb-06
Sep-06
Apr-07
Nov-07
Jun-08
Jan-09
Aug-09
Mar-1
050
100
150
200
250
300Vannamei Shrimp 50 pcs/kg
Farm Price Wholesale Price Retail Price
Pric
e (B
aht/
Kg)
Trend in prices…
3789538078
3826138443
3862638808
3899139173
3935639539
3972239904
4008740269
40452507090
110130150170190210
Vannamei Shrimp Wholesale
40 pcs /kg 50 pcs/kg60 pcs/kg 70 pcs/kg80 pcs/kg
Pric
e (B
aht/
Kg)
Jan-01
Aug-01
Mar-0
2
Oct-02
May-03
Dec-03
Jul-0
4
Feb-05
Sep-05
Apr-06
Nov-06
Jun-07
50100150200250300350400
40 pcs/kg 50 pcs/kg60 pcs/kg 70 pcs/kg80 pcs/kg
Pric
e (B
aht/
Kg)
Black Tiger Shrimp Wholesale
Seasonality in pricesMonth BF BW BR CF CW CR TF TW TR ST CT
Jan 101.47 99.90 94.03 99.46 101.48 99.28 91.41 97.67 98.96 100.95 99.44
Feb 100.91 99.47 98.46 98.90 102.39 100.27 89.66 91.28 100.33 89.99 95.61
Mar 101.68 100.76 103.55 97.29 98.29 99.54 93.64 96.82 100.05 94.24 94.08
Apr 98.92 100.76 104.99 98.07 97.87 99.03 99.77 98.53 99.30 86.70 100.20
May 96.16 100.47 106.56 101.24 100.36 99.34 102.66 97.67 97.56 92.87 100.20
Jun 96.45 98.41 105.58 101.73 101.11 98.88 104.20 98.95 98.94 93.55 100.97
Jul 98.69 99.27 103.76 102.27 96.21 99.12 101.68 102.37 99.33 98.62 101.89
Aug 99.78 98.75 98.20 100.67 97.04 100.64 105.95 103.83 100.77 102.73 101.89
Sep 100.33 100.30 100.21 101.75 99.06 101.32 105.73 102.37 102.22 107.17 102.80
Oct 100.66 99.95 93.48 99.30 103.32 100.84 105.03 108.22 102.42 111.28 100.97
Nov 101.68 100.99 94.27 98.81 100.48 99.80 104.83 101.88 99.29 112.59 100.97
Dec 103.27 100.99 96.91 100.52 102.38 101.92 95.45 100.42 100.82 109.31 100.97
Seasonality in pricesMonth VF VW VR V40 V60 V70 V80 B40 B50 B60 B70 B80 Jan 104.1 105.0 103.1 102.9 102.6 99.9 100.4 108.6 109.1 109.6 111.2 109.0
Feb 105.9 105.5 102.3 103.1 105.4 106.4 107.1 113.9 114.6 116.8 116.0 113.9
Mar 107.3 104.3 103.4 102.2 107.1 108.2 108.2 110.8 112.5 112.4 109.2 108.2
Apr 106.2 107.2 103.6 103.6 105.8 105.0 102.4 107.6 108.3 105.8 102.1 101.4
May 97.6 101.6 101.0 102.5 98.9 97.7 96.5 107.4 106.1 102.2 99.7 99.7
Jun 89.5 93.6 95.9 98.6 92.6 93.3 94.3 94.3 94.8 93.7 92.9 92.5
Jul 91.5 92.4 95.3 96.2 94.4 96.8 98.3 89.1 89.2 89.2 90.1 90.3
Aug 95.3 96.1 100.3 94.3 99.4 101.0 101.6 94.3 95.9 97.3 100.0 101.1
Sep 99.9 100.5 98.0 96.4 102.9 104.0 104.5 92.6 93.7 95.3 96.7 97.5
Oct 101.6 98.8 98.1 99.6 98.7 99.3 100.0 88.2 87.9 88.4 90.2 92.4
Nov 100.1 95.3 98.4 99.3 95.2 94.0 93.4 93.4 91.4 92.5 94.4 96.2
Dec 101.2 99.7 100.9 101.4 97.0 94.5 93.5 99.9 96.5 96.9 97.7 97.7
100
f
fww P
PPGM
Gross Margins
100
w
wrr P
PPGM
Wholesale level
Retailer level
Four species:
Seabass
Catfish
Tilapia
Vinnamei shrimp
Gross Margins….
Seabass Catfish Tilapia Shrimp0
10203040506070
Wholesale Retail
Gro
ss m
arg
in %
Seasonality in marginsJa
n
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
0%
5%
10%
15%
20%
25%
30%
35%
Seabass W Margin
Marg
in %
Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
0%10%20%30%40%50%60%70%
Catfish W Margin
Marg
in %
Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
0%
10%
20%
30%
40%
50%
60%
70%
Tilapia W Margin
Marg
in %
Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
0%
10%
20%
30%
40%
50%
60%
70%
Shrimp W Margin
Marg
in %
ECONOMETRIC ANALYSIS
Unit root testVariable name
ADF test at level ADF test at first differencesConstant Const and trend Constant Const and trend
Sea Bass Farm Price -3.090* -2.944 -6.163** -6.210**Sea Bass Wholesale Price -1.850 -2.037 -8.434** -8.741**Sea Bass Retail Price -2.583 -2.851 -6.611** -6.558**Walking Catfish Farm Price -2.422 -4.034* -9.332** -9.287**Walking Catfish Wholesale Price -3.480* -4.454** -9.036** -8.984**Walking Catfish Retail Price -1.479 -2.718 -7.187** -7.161**Tilapia Farm Price -3.039* -3.933* -9.861** -9.828**Tilapia Wholesale Price -3.790** -4.949** -13.007** -12.926**Tilapia Retail Price -0.065 -1.162 -7.187** -9.061**Skipjack Tuna -2.110 -2.029 -9.237** -9.245**Canned Tuna -1.401 -1.147 -7.361** -7.391**Vannamei (50) Farm Price -3.523* -4.005* -6.397** -6.371**Vannamei (50) Wholesale Price -2.523 -3.078 -7.342** -7.307**Vannamei (50) Retail Price -3.083* -3.936* -7.744** -7.704**Vannamei (40) Wholesale Price -1.934 -2.790 -7.800** -7.884**Vannamei (60) Wholesale Price -5.327** -5.929** -7.972** -7.920**Vannamei (70) Wholesale Price -6.205** -6.456** -7.158** -7.118**Vannamei (80) Wholesale Price -6.254** -6.403** -7.057** -7.019**BT shrimp (40) wholesale Price -2.901* -6.184** -5.909** -5.868**BT shrimp (50) wholesale Price -3.000* -5.530** -5.979** -5.957**BT shrimp (60) wholesale Price -3.259* -4.824** -6.242** -6.232**BT shrimp (70) wholesale Price -3.413* -4.472** -6.843** -6.828**BT shrimp (80) wholesale Price -1.970 -4.293** -7.095** -7.077**
Granger Causality testVariables Null Hypothesis F-Statistic
BRCRTR
CR does not Granger Cause BR 1.605 BR does not Granger Cause CR 2.362 TR does not Granger Cause BR 3.928* BR does not Granger Cause TR 0.607 TR does not Granger Cause CR 0.486 CR does not Granger Cause TR 1.485
BR BW
BR does not Granger Cause BW 1.550 BW does not Granger Cause BR 0.484
CTST
CT does not Granger Cause ST 6.325** ST does not Granger Cause CT 1.880
V40V50
V50 does not Granger Cause V40 6.181** V40 does not Granger Cause V50 4.113*
*denotes null hypothesis rejected at 5%.** denotes null hypothesis rejected at 1%.
Cointegration test
VariablesNo. of
CE
Trace Max. Eigen Values
Statistics p-value* Statistics p-value*
BR and TR 1 32.854 0.021 21.206 0.048
CT and ST 1 13.748 0.028 13.483 0.019
V40 and V50 1 18.399 0.004 18.376 0.002
*MacKinnon-Haug-Michelis (1999) p-values
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)
Vector Error Correction Model
05.0**2178.0
350.0110.0050.0
ln*9113.0ln*2539.0ln*1609.0ln
2
111
valuepR
trbrbrbr tttt
05.0*0647.0
125.0039.0018.0
ln2342.0ln0380.0ln0064.0ln
2
111
valuepR
trbrtrtr tttt
Long-term adjustment
Short-term adjustment
VECM….
05.0**2182.0
250.0120.01018.0
ln0146.0ln0059.0ln*3694.0ln
2
111
valuepR
ctststst tttt
05.0*0666.0
135.0065.0055.0
ln0292.0ln*1323.0ln0336.0ln
2
111
valuepR
stctctct tttt
VECM…
05.0**2063.0
091.0128.0058.0
50ln*2481.040ln1744.040ln*1555.040ln
2
111
valuepR
VVVV tttt
05.0**2194.0
130.0183.0083.0
40ln*595.050ln*5402.050ln*1784.050ln
2
111
valuepR
VVVV tttt
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.
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.
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.