Commodity risk in European dairy firms

Guillaume Bagnarosa; Mark Cummins; Michael Dowling; Fearghal Kearney

doi:10.1093/erae/jbab050

Commodity risk in European dairy firms

Guillaume Bagnarosa, Mark Cummins, Michael Dowling, Fearghal Kearney

Research output: Contribution to journal › Article › peer-review

55 Downloads (Pure)

Abstract

We apply a multivariate mixed-data sampling (MIDAS) conditional quantile regression technique to understand the dairy commodity exposure of European dairy firms. Leveraging a theoretically sound hedonic dairy pricing framework, we show our approach is able to identify both market and operational risk. Profit margins for butter and milk price are particularly important for operational performance. Additional tests are provided, including an application of MIDAS quantile on a period of amplified dairy market risk. Our approach thus allows dairy firms to gain new perspectives on the significant risks posed by the current structure of dairy production in Europe.

Original language	English
Pages (from-to)	151-181
Number of pages	31
Journal	European Review of Agricultural Economics
Volume	49
Issue number	1
Early online date	16 Nov 2021
DOIs	https://doi.org/10.1093/erae/jbab050
Publication status	Published - 02 Jan 2022

Access to Document

10.1093/erae/jbab050Licence: CC BY

Commodity risk in European dairy firms
© 2021 The Authors. This is an open access article published under a Creative Commons Attribution License (https://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium, provided the author and source are cited.
Final published version, 784 KBLicence: CC BY

Cite this

@article{385903c0b31849daaafebf388e8cc480,

title = "Commodity risk in European dairy firms",

abstract = "We apply a multivariate mixed-data sampling (MIDAS) conditional quantile regression technique to understand the dairy commodity exposure of European dairy firms. Leveraging a theoretically sound hedonic dairy pricing framework, we show our approach is able to identify both market and operational risk. Profit margins for butter and milk price are particularly important for operational performance. Additional tests are provided, including an application of MIDAS quantile on a period of amplified dairy market risk. Our approach thus allows dairy firms to gain new perspectives on the significant risks posed by the current structure of dairy production in Europe.",

author = "Guillaume Bagnarosa and Mark Cummins and Michael Dowling and Fearghal Kearney",

year = "2022",

month = jan,

day = "2",

doi = "10.1093/erae/jbab050",

language = "English",

volume = "49",

pages = "151--181",

journal = "European Review of Agricultural Economics",

issn = "0165-1587",

publisher = "Oxford University Press",

number = "1",

}

TY - JOUR

T1 - Commodity risk in European dairy firms

AU - Bagnarosa, Guillaume

AU - Cummins, Mark

AU - Dowling, Michael

AU - Kearney, Fearghal

PY - 2022/1/2

Y1 - 2022/1/2

N2 - We apply a multivariate mixed-data sampling (MIDAS) conditional quantile regression technique to understand the dairy commodity exposure of European dairy firms. Leveraging a theoretically sound hedonic dairy pricing framework, we show our approach is able to identify both market and operational risk. Profit margins for butter and milk price are particularly important for operational performance. Additional tests are provided, including an application of MIDAS quantile on a period of amplified dairy market risk. Our approach thus allows dairy firms to gain new perspectives on the significant risks posed by the current structure of dairy production in Europe.

AB - We apply a multivariate mixed-data sampling (MIDAS) conditional quantile regression technique to understand the dairy commodity exposure of European dairy firms. Leveraging a theoretically sound hedonic dairy pricing framework, we show our approach is able to identify both market and operational risk. Profit margins for butter and milk price are particularly important for operational performance. Additional tests are provided, including an application of MIDAS quantile on a period of amplified dairy market risk. Our approach thus allows dairy firms to gain new perspectives on the significant risks posed by the current structure of dairy production in Europe.

U2 - 10.1093/erae/jbab050

DO - 10.1093/erae/jbab050

M3 - Article

SN - 0165-1587

VL - 49

SP - 151

EP - 181

JO - European Review of Agricultural Economics

JF - European Review of Agricultural Economics

IS - 1

ER -

Commodity risk in European dairy firms

Abstract

Access to Document

Fingerprint

Cite this