Price linkages in the international skim milk powder market: empirical evidence from nonparametric and time‐varying copulas

Panos Fousekis, Christos Emmanouilides, Vasilis Grigoriadis

Research output: Contribution to journalArticlepeer-review

16 Citations (Scopus)

Abstract

The objective of this article is to assess the integration of the international skim milk powder (SMP) market. This is pursued using monthly data over 2001 to 2014 from the three principal SMP-producing regions (the EU, the USA and Oceania) and nonparametric kernel-based and time-varying copulas. The empirical results point to a strong and an increasing degree of overall price co-movement and to statistically significant probabilities for joint price crashes and booms. While the EU and Oceania have been the regions with the highest degree of integration, the USA has been catching up with them.

Original languageEnglish
Pages (from-to)135-153
Number of pages19
JournalAustralian Journal of Agricultural and Resource Economics
Volume61
Issue number1
Early online date22 Mar 2016
DOIs
Publication statusPublished - 16 Jan 2017
Externally publishedYes

Bibliographical note

Publisher Copyright:
© 2016 Australian Agricultural and Resource Economics Society Inc.

Copyright:
Copyright 2017 Elsevier B.V., All rights reserved.

Keywords

  • kernel-based copulas
  • price co-movement
  • skim milk powder

ASJC Scopus subject areas

  • Agricultural and Biological Sciences (miscellaneous)
  • Economics and Econometrics

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