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Price co-movement in the principal skim milk powder producing regions: a wavelet analysis

Author

Listed:
  • Panos Fousekis

    () (Massey University)

  • Vasilis Grigoriadis

    () (Aristotle University)

Abstract

This paper investigates price co-movement in the principal skim milk powder (SMP) producing regions (the EU, Oceania, and the USA) using wavelet analysis and monthly data over 2001 to 2015. The empirical results suggest: First, the price linkages at the high frequencies are weak but they become progressively stronger as one considers longer time horizons. Second, the pair of regions (EU, Oceania) is more integrated than the pairs (EU, USA), and (Oceania, USA). Third, the SMP prices in the EU and in Oceania move together and lead prices in the USA.

Suggested Citation

  • Panos Fousekis & Vasilis Grigoriadis, 2016. "Price co-movement in the principal skim milk powder producing regions: a wavelet analysis," Economics Bulletin, AccessEcon, vol. 36(1), pages 477-492.
  • Handle: RePEc:ebl:ecbull:eb-15-00316
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    File URL: http://www.accessecon.com/Pubs/EB/2016/Volume36/EB-16-V36-I1-P48.pdf
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    References listed on IDEAS

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    Cited by:

    1. Funashima, Yoshito, 2017. "Time-varying leads and lags across frequencies using a continuous wavelet transform approach," Economic Modelling, Elsevier, vol. 60(C), pages 24-28.

    More about this item

    Keywords

    Prices; skimmed milk powder; wavelets;

    JEL classification:

    • Q1 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture
    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General

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