Causality Relationship Between Producer and Consumer Price Indexes of Selected Meat Commodities in South Africa from 1991 to 2023
Abstract
:1. Introduction
2. Literature Review
3. Methodology
3.1. Data Sources
3.2. Analytical Techniques
4. Results
4.1. Augmented Dickey–Fuller Unit Root Test
4.2. Johansen Cointegration Test, VECM, and Granger Causality Results
4.3. Diagnostic Tests
5. Further Discussion of Results and Policy Implications
5.1. VECM and Cointegration Policy Implications
5.2. Granger Causality Policy Implications
6. Conclusions
Author Contributions
Funding
Informed Consent Statement
Data Availability Statement
Conflicts of Interest
References
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Variables | With intercept at levels | |||
ADF stats | 5% level | Prob | Results | |
CPI meat | −1.192384 | −2.971853 | 0.6633 | Non-stationary |
PPI Beef | −0.360333 | −2.957110 | 0.9044 | Non-stationary |
PPI Chicken meat | −1.527583 | −2.971853 | 0.5052 | Non-stationary |
PPI Pork | −2.445905 | −2.971853 | 0.1390 | Non-stationary |
PPI Mutton | −1.173023 | −2.963972 | 0.6727 | Non-stationary |
Trend with intercept at levels | ||||
ADF stats | 5% level | Prob | Results | |
CPI meat | −4.483151 | −3.557759 | 0.0060 | Stationary |
PPI Beef | −3.548711 | −3.557759 | 0.0510 | Non-stationary |
PPI Chicken meat | −4.191225 | −3.562882 | 0.0124 | Stationary |
PPI Pork | −3.900911 | −3.212361 | 0.0237 | Stationary |
PPI Mutton | −4.365410 | −3.212361 | 0.0080 | Stationary |
With intercept at first difference | ||||
ADF stats | 5% level | Prob | Results | |
CPI meat | −4.946506 | −2.971853 | 0.0004 | Stationary |
PPI Beef | −7.450471 | −2.960411 | 0.0000 | Stationary |
PPI Chicken meat | −4.825832 | −2.971853 | 0.0006 | Stationary |
PPI Pork | −4.133884 | −2.971853 | 0.0034 | Stationary |
PPI Mutton | −6.221388 | −2.963972 | 0.0000 | Stationary |
Trend with intercept at first difference | ||||
ADF stats | 5% level | Prob | Results | |
CPI meat | −4.988927 | −3.580622 | 0.0021 | Stationary |
PPI Beef | −4.098878 | −3.622033 | 0.0193 | Stationary |
PPI Chicken meat | −5.094606 | −3.580622 | 0.0016 | Stationary |
PPI Pork | −5.015334 | −3.580622 | 0.0020 | Stationary |
PPI Mutton | −3.152916 | −3.603202 | 0.1165 | Stationary |
Lags | LogL | LR | FPE | AIC | SC | HQ |
---|---|---|---|---|---|---|
0 | −518.7239 | NA | 3.25 × 108 | 33.7886 | 34.0199 | 33.8640 |
1 | −388.7345 | 209.6603 | 380,967.4 | 27.1513 | 28.4029 * | 27.4675 * |
2 | −358.5371 | 38.9644 * | 312,302.0 * | 26.6798 * | 29.2230 | 27.5092 |
Trace Test | |||||
Hypothesised No of CE(s) | Eigenvalue | Trace Statistics | 0.05% Critical Value | Prob. ** | Decision |
None * | 0.696120 | 92.32662 | 69.8189 | 0.0003 | Cointegrated |
At most 1 * | 0.648563 | 55.40187 | 47.8561 | 0.0083 | Cointegrated |
At most 2 | 0.317122 | 22.98443 | 29.7970 | 0.2468 | Not cointegrated |
At most 3 | 0.288450 | 11.15981 | 15.4947 | 0.2019 | Not cointegrated |
At most 4 | 0.019491 | 20.610189 | 3.8414 | 0.4347 | Not cointegrated |
Maximum Eigenvalue Test | |||||
Hypothesised No of CE(s) | Eigenvalue | Maximum eigenvalue Statistics | 0.05% Critical Value | Prob. ** | Decision |
None * | 0.696120 | 0.696120 | 33.87687 | 0.0209 | Cointegrated |
At most 1 * | 0.648563 | 0.648563 | 27.58434 | 0.0010 | Cointegrated |
At most 2 | 0.317122 | 0.317122 | 21.13162 | 0.5651 | Not cointegrated |
At most 3 | 0.288450 | 0.288450 | 12.26460 | 0.1783 | Not cointegrated |
At most 4 | 0.019491 | 0.019491 | 3.841465 | 0.4347 | Not cointegrated |
Variables | Coefficient | Std. Error | t-Statistic | Prob. |
---|---|---|---|---|
ECT (−1) | −0.6767 | 0.2560 | −2.6432 | 0.0165 * |
LCPI_Meat (−1) | 0.1895 | 0.4273 | 0.4434 | 0.6628 |
LCPI_Meat (−2) | 0.2953 | 0.2755 | 1.0721 | 0.2978 |
LPPI_beef (−1) | −0.3488 | 0.2162 | −1.6139 | 0.1240 |
LPPI_beef (−2) | −0.2909 | 0.1404 | −1.9299 | 0.0695 * |
LPPI_chicken meat (−1) | 0.6620 | 0.3045 | 2.1741 | 0.0433 * |
LPPI_chicken meat (−2) | 0.2727 | 0.2475 | 1.1018 | 0.2851 |
LPPI_mutton (−1) | −0.1544 | 0.1850 | −0.8346 | 0.4149 |
LPPI_mutton (−2) | −0.1671 | 0.1663 | −1.0047 | 0.3283 |
LPPI_pork (−1) | −0.4218 | 0.1712 | −2.4645 | 0.0240 * |
LPPI_pork (−2) | −0.2124 | 0.1258 | −1.6887 | 0.1085 |
C | 0.0985 | 0.0267 | 3.6936 | 0.0017 ** |
R-squared | 0.5375 | |||
Adj. R-squared | 0.2549 | |||
F-statistic | 1.9019 | |||
Log likelihood. | 62.0563 | |||
Akaike AIC | −3.3371 |
Null Hypothesis | Lags | F Statistic | Prob | Decision |
---|---|---|---|---|
LPPI (BEEF) does not Granger cause LCPI (MEAT) | 2 | 1.57258 | 0.2266 | Reject |
LCPI (MEAT) does not Granger cause LPPI (BEEF) | 2 | 1.04701 | 0.3653 | Reject |
LPPI (CHICKEN MEAT) does not Granger cause LCPI (MEAT) | 2 | 2.39902 | 0.1106 | Reject |
LCPI (MEAT) does not Granger cause LPPI (CHICKEN MEAT) | 2 | 9.53566 | 0.0008 | Accept |
LPPI (MUTTON) does not Granger cause LCPI (MEAT) | 2 | 2.13644 | 0.1383 | Reject |
LCPI (MEAT) does not Granger cause LPPI (MUTTON) | 2 | 3.04270 | 0.0650 | Accept |
LPPI (PORK) does not Granger cause LCPI (MEAT) | 2 | 0.81939 | 0.4518 | Reject |
LCPI (MEAT) does not Granger cause LPPI (PORK) | 2 | 6.42058 | 0.0054 | Accept |
F-statistic | 0.05362 |
Obs* R-squared | 0.1998 |
Prob. F (2,16) | 0.9480 |
Prob. Chi-square (2) | 0.9049 |
F-statistic | 1.0288 |
Obs* R-squared | 15.72984 |
Prob. F (4,23) | 0.4813 |
Prob. Chi-square (4) | 0.4002 |
Prob. Chi-square (4) | 0.9480 |
Scaled explained SS | 7.3246 |
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Aphane, T.R.; Muchopa, C.L.; Senyolo, M.P. Causality Relationship Between Producer and Consumer Price Indexes of Selected Meat Commodities in South Africa from 1991 to 2023. Economies 2024, 12, 336. https://doi.org/10.3390/economies12120336
Aphane TR, Muchopa CL, Senyolo MP. Causality Relationship Between Producer and Consumer Price Indexes of Selected Meat Commodities in South Africa from 1991 to 2023. Economies. 2024; 12(12):336. https://doi.org/10.3390/economies12120336
Chicago/Turabian StyleAphane, Thabang R., Chiedza L. Muchopa, and Mmapatla P. Senyolo. 2024. "Causality Relationship Between Producer and Consumer Price Indexes of Selected Meat Commodities in South Africa from 1991 to 2023" Economies 12, no. 12: 336. https://doi.org/10.3390/economies12120336
APA StyleAphane, T. R., Muchopa, C. L., & Senyolo, M. P. (2024). Causality Relationship Between Producer and Consumer Price Indexes of Selected Meat Commodities in South Africa from 1991 to 2023. Economies, 12(12), 336. https://doi.org/10.3390/economies12120336