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

Author

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  • Fousekis, Panos
  • Emmanouilides, Christos
  • Grigoriadis, Vasilis

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.

Suggested Citation

  • Fousekis, Panos & Emmanouilides, Christos & Grigoriadis, Vasilis, 2017. "Price linkages in the international skim milk powder market: empirical evidence from nonparametric and time-varying copulas," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 61(1), January.
    • Handle: RePEc:ags:aareaj:301121
    DOI: 10.22004/ag.econ.301121
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    Cited by:

    1. Carlson, Mari K. & Rezitis, Anthony N., 2018. "Integration of the EU broiler meat markets – Application of Regular Vine Copulas," 2018 Annual Meeting, August 5-7, Washington, D.C. 273864, Agricultural and Applied Economics Association.
    2. Anthony N. Rezitis & Gregor Kastner, 2021. "On the joint volatility dynamics in international dairy commodity markets," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 65(3), pages 704-728, July.
    3. Dimitrios Panagiotou & Athanassios Stavrakoudis, 2023. "Price dependence among the major EU extra virgin olive oil markets: a time scale analysis," Review of Agricultural, Food and Environmental Studies, Springer, vol. 104(1), pages 1-26, March.
    4. Anthony N. Rezitis & Gregor Kastner, 2021. "On the joint volatility dynamics in dairy markets," Papers 2104.12707, arXiv.org.
    5. Rezitis, Anthony N. & Rokopanos, Andreas, 2019. "Impact of trade liberalisation on dairy market price co-movements between the EU, Oceania, and the United States," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 63(3), July.
    6. Panagiotou, Dimitrios & Stavrakoudis, Athanassios, 2017. "Vertical price relationships between different cuts and quality grades in the U.S. beef marketing channel: A wholesale-retail analysis," The Journal of Economic Asymmetries, Elsevier, vol. 16(C), pages 53-63.
    7. Benos, Nikos & Stavrakoudis, Athanassios, 2022. "Okun's law: Copula-based evidence from G7 countries," The Quarterly Review of Economics and Finance, Elsevier, vol. 84(C), pages 478-491.
    8. Fousekis, Panos & Grigoriadis, Vasilis, 2017. "Price co-movement and the crack spread in the US futures markets," Journal of Commodity Markets, Elsevier, vol. 7(C), pages 57-71.
    9. 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.
    10. Panagiotpu, Dimitrios & Stavrakoudis, Athanassios, 2021. "Price dependence among the major EU extra virgin olive oil markets: A time scale analysis," MPRA Paper 114656, University Library of Munich, Germany, revised Jun 2022.
    11. Ronaghi, Marzieh & Ronaghi, Mohammad Hossein, 2021. "Investigating the impact of economic, political, and social factors on augmented reality technology acceptance in agriculture (livestock farming) sector in a developing country," Technology in Society, Elsevier, vol. 67(C).

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    Keywords

    Demand and Price Analysis;

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