Granger Causality Test among Chicken Meat Prices, Pork Prices, and Beef Prices

Abstract

This study involves Granger causality test among chicken meat prices, pork prices, and beef prices by using quarterly data of broiler prices, pig prices, and mid-sized cattle prices from the office of agricultural economics as the proxies. We apply the Augmented Dickey-Fuller test and select Vector Autoregression (VAR) to implement the test. The result of the study can be summarized that broiler prices and mid-sized cattle prices affect prices of pigs through substitution effect while prices of pigs sends no effect to broiler prices and mid-sized cattle prices. In addition, we find no Granger causality between broiler prices and mid-sized cattle prices.