Investigating dynamic price co-movements in the international milk market using copulas: The role of trade agreements
Anthony Rezitis (),
Andreas Rokopanos () and
Mike G. Tsionas
Economic Modelling, 2021, vol. 95, issue C, 215-227
The present paper investigates price dependence in the international skim milk powder markets. Time-varying and dynamic stochastic copulas are applied on bi-weekly prices from Europe, Oceania, and the United States, covering the period from September 1998 to May 2017. The copulas’ empirical results support that price correlations increase over time in the three regions, while simple correlation coefficients do not endorse any increase. This is because dynamic stochastic copulas are flexible structures introducing time variation into the densities. The increase in price dependence is mainly due to free trade agreements, most of them enacted after 2007, leading to greater integration in the international milk market. The highest degree of price dependence is found between the EU and Oceania, the leading regions in the global skim milk powder market.
Keywords: Dairy markets; Time-varying copulas; Dynamic stochastic copulas (search for similar items in EconPapers)
JEL-codes: C10 C11 Q17 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:95:y:2021:i:c:p:215-227
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