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 language | English |
|---|---|
| Pages (from-to) | 135-153 |
| Number of pages | 19 |
| Journal | Australian Journal of Agricultural and Resource Economics |
| Volume | 61 |
| Issue number | 1 |
| Early online date | 22 Mar 2016 |
| DOIs | |
| Publication status | Published - 16 Jan 2017 |
| Externally published | Yes |
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