Price risk connectedness in the principal olive oil markets of the EU

Panos Fousekis

The Journal of Economic Asymmetries, 2022, vol. 26, issue C

Abstract: This work investigates price risk connectedness in the leading olive oil markets of the EU. To this end, it relies on a flexible methodology that allows modelling price linkages across multiple markets in the physical and the product quality space and weekly prices from Spain, Italy, and Greece. The main empirical results suggest: First, price risk connectedness under extreme positive shocks is stronger than under extreme negative ones. Second, physical space is a much more important determinant of price risk spillovers relative to quality differentials. Third, the higher quality of olive oil (extra virgin) is more likely to transmit price risk to the lower quality of olive oil (virgin). Fourth, Spain (the largest supplier) plays a central role in the flow of information within the network of olive oil markets.

Keywords: Olive oil; EU; Risk connectedness; Asymmetry (search for similar items in EconPapers)
JEL-codes: C12 Q11 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:joecas:v:26:y:2022:i:c:s1703494922000196

DOI: 10.1016/j.jeca.2022.e00258

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