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Measuring Volatility in Dairy Commodity Prices

Listed author(s):
  • O'Connor, Declan
  • Keane, Michael
  • Barnes, Edel

The policy environment facing the EU dairy industry continues to undergo considerable change under WTO and CAP reform. Movement away from supply management by the EU and a more liberal global agricultural trading system will involve greater price volatility for dairy commodities. It is anticipated that EU dairy prices will more closely align with world prices. World prices are both lower and more volatile than EU prices and it is further assumed that this increased volatility will be transmitted to EU prices. Price volatility is a concern for a number of reasons as it adds challenges for business planning, debt repayment, and, in some cases, solvency. Representative EU and world butter and SMP (Skim Milk Powder) prices are considered and using the ARMA and GARCH framework their volatility is quantified.

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File URL: http://purl.umn.edu/58106
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Paper provided by European Association of Agricultural Economists in its series 113th Seminar, September 3-6, 2009, Chania, Crete, Greece with number 58106.

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Date of creation: 2009
Handle: RePEc:ags:eaa113:58106
Contact details of provider: Web page: http://www.eaae.org
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