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

Fousekis, Panos; Emmanouilides, Christos J.; Grigoriadis, Vasilis

doi:10.1111/1467-8489.12147

Cited by 24 publications

(52 citation statements)

References 27 publications

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“…Copula invariance was tested with the Busetti & Harvey test (Busetti and Harvey, 2011). We have used a slightly modified code by Fousekis et al (2017) to perform the computations in R environment.…”

Section: Copula Selection and Estimationmentioning

confidence: 99%

Okun's law: Copula-based evidence from G7 countries

Benos

Stavrakoudis

2022

The Quarterly Review of Economics and Finance

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In this paper we present evidence on the association between unemployment and output in the G7 economies, which has direct implications for the validity of Okun's Law.Specifically, we investigate dependence and asymmetry between the residuals of the output and unemployment first difference equations using the copula methodology. We find that dependence between GDP and unemployment disturbances is strong only in USA and France followed by Canada, the UK and Germany. There is no dependence in Italy and Japan. This enhances the validity of Okun's Law in the former countries without invalidating it in Italy and Japan, since there is still a negative relationship given by the systematic part of the output-unemployment difference equations estimates. Also, there is asymmetry in the former five countries. Output disturbances are associated with unemployment ones only during recessions, while they are completely disentangled throughout contractions in the US, France, Canada, the UK and Germany. These findings imply that USA and France, and less so Canada, Great Britain and Germany provide the most favorable environment for counter-cyclical economic policies. In these economies, policy makers should react more than output-unemployment dynamic equations dictate in case of output slumps. However, during recoveries in these countries and in Italy as well as Japan during the whole business cycle, authorities ought to base stabilization policies solely on the systematic part of the relation between output and unemployment changes.Our results provide guidance to policy makers in addition to what is suggested by traditional empirical approaches, which focus on the estimation of the deterministic part of the output-unemployment relationship.

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Section: Copula Selection and Estimationmentioning

confidence: 99%

Okun's law: Copula-based evidence from G7 countries

Benos

Stavrakoudis

2022

The Quarterly Review of Economics and Finance

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“…Therefore, their combination in a single market is quite common in the literature (e.g. Fousekis, Emmanouilides and Grigoriadis , Fousekis and Grigoriadis , Newton , Zhang et al ).…”

Section: Datamentioning

confidence: 99%

“…Prices that tend to co‐move provide evidence of well‐integrated markets. Furthermore, the transmission of price shocks from one spatial market to another is recognised as a necessary condition for economic efficiency (Ghoshray ; Reboredo ; Fousekis et al ), whereas the degree of integration bears implications for the total welfare and the distribution of benefits among the trading markets (Meyer and von Cramon‐Taubadel ; Serra et al ). In this context, the signing of new bilateral and multilateral trade agreements as well as the policy changes enacted around 2008 were significant.…”

Section: Introductionmentioning

confidence: 99%

“…Concerning dairy markets, Fousekis et al () explore the spatial price linkages in the SMP markets of Oceania, the EU and the United States using the nonparametric time‐varying copula. Their results indicate strong and increasing overall price co‐movement, especially between the EU and Oceania, with the increasing interconnection between the United States and the rest of the markets.…”

Section: Introductionmentioning

confidence: 99%

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Impact of trade liberalisation on dairy market price co‐movements between the EU, Oceania, and the United States

Rezitis

Rokopanos

2019

Aus J Agri & Res Econ

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This study investigates the impact of trade liberalisation on the spatial price co‐movements between the dairy markets of the EU, Oceania, and the United States. We consider two main dairy products, namely butter and whole milk powder (WMP), and employ R‐Vines to assess the development of the tail dependence between the price series. We split the time span (i.e. 2000‐2017) in December 2007 to capture the change in the tail dependence as well as in the potential of each region to act as the central market. Our findings indicate that the EU acts as the central market for butter in both sub‐periods, whereas the EU succeeds Oceania in acting as the central market for WMP from the first sub‐period to the next. Further findings highlight slightly increasing tail dependence in the butter market and in the WMP market for the EU‐OCE and EU‐US pairs. However, the tail dependence for the WMP prices between Oceania and the United States weakens, in which we attribute to the 2013 Chinese ban on milk powder imports from Oceania.

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“…In this context, bilateral and multilateral trade agreements as well as government dairy policy changes, enacted around 2007/ 08, have sought to liberalize the dairy sector by eliminating trade barriers and facilitating trade. Thus, a more globalized dairy market might have exacerbated dairy price volatility where the price range for SMP, WMP, butter, and cheese expanded after 2007/08 and for the three regions under study (Fousekis et al 2017;Fousekis & Grigoriadis, 2016a, 2016bFousekis & Trachanas, 2016;Newton, 2016;O'Connor et al 2009). The present paper explicitly examines co-volatility price linkages in international dairy markets using a multivariate factor stochastic volatility model, while most of the recent literature investigates price co-movements in international dairy markets without explicitly exploring price volatility relations.…”

Section: Introductionmentioning

confidence: 99%

On the joint volatility dynamics in international dairy commodity markets*

Rezitis¹,

Kastner²

2021

Aus J Agri & Res Econ

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The present study investigates the price (co)volatility of four dairy commodities-skim milk powder, whole milk powder, butter, and cheddar cheese-in three major dairy markets. It uses a multivariate factor stochastic volatility model for estimating the time-varying covariance and correlation matrices by imposing a low-dimensional latent dynamic factor structure. The empirical results support four factors representing the European Union and Oceania dairy sectors as well as the milk powder markets. Factor volatilities and marginal posterior volatilities of each dairy commodity increase after the 2006/07 global (food) crisis, which also coincides with the free trade agreements enacted from 2007 onward and EU and US liberalization policy changes. The model-implied correlation matrices show increasing dependence during the second half of 2006, throughout the first half of 2007, as well as during 2008 and 2014, which can be attributed to various regional agricultural dairy policies. Furthermore, in-sample value at risk measures (VaRs and CoVaRs) are provided for each dairy commodity under consideration.

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

Cited by 24 publications

References 27 publications

Okun's law: Copula-based evidence from G7 countries

Okun's law: Copula-based evidence from G7 countries

Impact of trade liberalisation on dairy market price co‐movements between the EU, Oceania, and the United States

On the joint volatility dynamics in international dairy commodity markets*

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