Price co-movement in the principal skim milk powder producing regions: A wavelet analysis

Panos Fousekis, Vasilis Grigoriadis

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1 Citation (Scopus)

Abstract

This paper investigates price co-movement in the principal skim milk powder (SMP) producing regions (the EU, Oceania, and the USA) using wavelet analysis and monthly data over 2001 to 2015. The empirical results suggest: First, the price linkages at the high frequencies are weak but they become progressively stronger as one considers longer time horizons. Second, the pair of regions (EU, Oceania) is more integrated than the pairs (EU, USA), and (Oceania, USA). Third, the SMP prices in the EU and in Oceania move together and lead prices in the USA.

Original languageEnglish
Pages (from-to)477-492
Number of pages16
JournalEconomics Bulletin
Volume36
Issue number1
Publication statusPublished - 17 Mar 2016
Externally publishedYes

Bibliographical note

Copyright:
Copyright 2016 Elsevier B.V., All rights reserved.

ASJC Scopus subject areas

  • Economics, Econometrics and Finance(all)

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