Spatial price dependence by time scale: Empirical evidence from the international butter markets

Panos Fousekis and Vasilis Grigoriadis

Economic Modelling, 2016, vol. 54, issue C, 195-204

Abstract: The objective of the present work is to investigate price dependence (co-movement) in the international butter markets. This is pursued using monthly wholesale prices from Oceania and the European Union and two non-parametric tools, namely, the copulas and the wavelets. The empirical results suggest that: (a) The price linkages in the two butter-producing regions are weak in the short-run but they become much stronger in the long-run. (b) The time horizon (time scale) is relevant not only for the intensity but for the structure of price co-movement as well; in the long-run, there is an asymmetry in price dependence in the sense that strong positive shocks are transmitted with a higher intensity compared to strong negative ones.

Keywords: Copulas; Wavelets; Butter prices (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:54:y:2016:i:c:p:195-204

DOI: 10.1016/j.econmod.2015.12.023

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