 Investigating dynamic price co-movements in the international milk market using copulas: The role of trade agreementsAnthony Rezitis, Andreas Rokopanos and Mike 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) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:95:y:2021:i:c:p:215-227 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 |
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