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Connectedness between conventional and organic milk prices in the USA

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  • Fousekis, Panos

Abstract

The objective of this work is to assess the linkages between conventional and organic milk markets in the US. To this end, it employs the recently developed Quantile Frequency Connectedness (QFC) model and monthly retail prices from January 2009 to February 2024. The empirical results suggest: First, price connectedness is both quantile- and frequency-dependent. Second, adjustments to incoming information are likely to completed within 3 months. Third, large (in absolute value) price shocks result in stronger price connectedness relative to small. Fourth, where asymmetric connectedness exists, it points to the conventional milk market as a net transmitter of shocks to organic. Fifth, although the retail share of organic milk has increased rapidly, the intensity of price connectedness remained fairly stable over time.

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  • Fousekis, Panos, 2024. "Connectedness between conventional and organic milk prices in the USA," The Journal of Economic Asymmetries, Elsevier, vol. 30(C).
    • Handle: RePEc:eee:joecas:v:30:y:2024:i:c:s1703494924000161
    DOI: 10.1016/j.jeca.2024.e00367
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    1. Jesús Otero & Theodore Panagiotidis & Georgios Papapanagiotou, 2022. "Multivariate Cointegration and Temporal Aggregation: Some Further Simulation Results," Computational Economics, Springer;Society for Computational Economics, vol. 59(1), pages 59-70, January.
    2. Fousekis, Panos, 2024. "Relative prices and relative supplies in the UK beef meat industry: A wavelet cross-correlation analysis," The Journal of Economic Asymmetries, Elsevier, vol. 30(C).

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    JEL classification:

    • Q11 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Aggregate Supply and Demand Analysis; Prices
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling

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