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.