Substitutability among species in the Japanese tuna market: A cointegration analysis

This paper examines two sets of hypotheses concerning the existence and the cause of the long-run inter-species price relationships in the Japanese tuna market. A shock variable is introduced into the system to determine the degree of influence on the price relationships as well as the magnitude of the power in explaining the variation in prices of tuna species. Although in most cases the coefficient estimates of the shock variable are statistically significant, overall, the variable does not have significant explanatory power in both bivari-ate and multivariate regressions. We also find that the degree of substitutability between bigeye and albacore is substantially lower than the degree of substitut-ability between bigeye and yellowfin and, yellowfin and albacore.