Spatial price dependence by time scale: Empirical evidence from the international butter markets

Panos Fousekis*, Vasilis Grigoriadis

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

7 Citations (Scopus)

Abstract

The objective of the present work is to investigate price dependence (co-movement) in the international butter markets. This is pursued using monthly wholesale prices from Oceania and the European Union and two non-parametric tools, namely, the copulas and the wavelets. The empirical results suggest that: (a) The price linkages in the two butter-producing regions are weak in the short-run but they become much stronger in the long-run. (b) The time horizon (time scale) is relevant not only for the intensity but for the structure of price co-movement as well; in the long-run, there is an asymmetry in price dependence in the sense that strong positive shocks are transmitted with a higher intensity compared to strong negative ones.

Original languageEnglish
Pages (from-to)195-204
Number of pages10
JournalEconomic Modelling
Volume54
Early online date27 Jan 2016
DOIs
Publication statusPublished - 01 Apr 2016
Externally publishedYes

Bibliographical note

Publisher Copyright:
© 2015 Elsevier B.V.

Copyright:
Copyright 2020 Elsevier B.V., All rights reserved.

Keywords

  • Butter prices
  • Copulas
  • Wavelets

ASJC Scopus subject areas

  • Economics and Econometrics

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