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

Panos Fousekis, Christos Emmanouilides and Vasilis Grigoriadis

Australian Journal of Agricultural and Resource Economics, 2017, vol. 61, issue 01

Abstract: The objective of this article is to assess the integration of the international skim milk powder (SMP) market. This is pursued using monthly data over 2001 to 2014 from the three principal SMP-producing regions (the EU, the USA and Oceania) and nonparametric kernel-based and time-varying copulas. The empirical results point to a strong and an increasing degree of overall price co-movement and to statistically significant probabilities for joint price crashes and booms. While the EU and Oceania have been the regions with the highest degree of integration, the USA has been catching up with them.

Keywords: Demand; and; Price; Analysis (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:ags:aareaj:301121

DOI: 10.22004/ag.econ.301121

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