Economics at your fingertips  

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

Abstract: 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)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

DOI: 10.1016/j.econmod.2020.12.016

Access Statistics for this article

Economic Modelling is currently edited by S. Hall and P. Pauly

More articles in Economic Modelling from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

Page updated 2021-09-20
Handle: RePEc:eee:ecmode:v:95:y:2021:i:c:p:215-227