Cross-commodity market integration and price transmission in Thailand’s livestock sector

Abstract

The ability to substitute goods and services is crucial for maintaining market stability during price fluctuations, particularly in the livestock market, where products are interchangeable. This study aimed to analyse market integration and asymmetric price transmission concerning livestock commodity prices in Thailand. Specifically, it focused on beef cattle, swine, broiler chicken, and chicken egg prices, using time-series data from January 2011 to December 2022. The analysis employed unit root tests to check if the time series data were stationary, Granger causality tests to determine the direction of relationships among livestock prices and an asymmetric price transmission model to examine short-term asymmetry and adjustment in cross-commodity prices. The findings indicate three directions of price integration in Thailand’s livestock market: from broiler chicken price to chicken egg price, from swine price to chicken egg price, and from swine price to broiler chicken price. The results suggest that price transmission in Thailand is symmetrical, demonstrating an efficient interdependent relationship. Thus, the findings indicate that chicken eggs are a substitute for broiler chickens and swine when prices fluctuate, while broiler chickens are a substitute for swine. The results reveal that chicken eggs can replace swine consumption more effectively than broiler chickens within Thailand. This study highlights that chicken eggs are the most effective substitute during livestock price fluctuations in Thailand, with broiler chickens being the second most effective. Consequently, stakeholders in the livestock supply chain, such as policymakers, entrepreneurs, and farmers, should understand the integration of different commodities and price transmission in Thailand’s livestock market. To guarantee market stability, stakeholders should manage the demand and supply of livestock commodities and acquire chicken eggs and broiler chickens during significant fluctuations in domestic livestock commodity prices