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Investigating dynamic price co-movements in the international milk market using copulas: The role of trade agreements

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  • Rezitis, Anthony N.
  • Rokopanos, Andreas
  • Tsionas, Mike G.

Abstract

The present paper investigates price dependence in the international skim milk powder markets. Time-varying and dynamic stochastic copulas are applied on bi-weekly prices from Europe, Oceania, and the United States, covering the period from September 1998 to May 2017. The copulas’ empirical results support that price correlations increase over time in the three regions, while simple correlation coefficients do not endorse any increase. This is because dynamic stochastic copulas are flexible structures introducing time variation into the densities. The increase in price dependence is mainly due to free trade agreements, most of them enacted after 2007, leading to greater integration in the international milk market. The highest degree of price dependence is found between the EU and Oceania, the leading regions in the global skim milk powder market.

Suggested Citation

  • Rezitis, Anthony N. & Rokopanos, Andreas & Tsionas, Mike G., 2021. "Investigating dynamic price co-movements in the international milk market using copulas: The role of trade agreements," Economic Modelling, Elsevier, vol. 95(C), pages 215-227.
    • Handle: RePEc:eee:ecmode:v:95:y:2021:i:c:p:215-227
    DOI: 10.1016/j.econmod.2020.12.016
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    More about this item

    Keywords

    Dairy markets; Time-varying copulas; Dynamic stochastic copulas;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • Q17 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agriculture in International Trade

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