Measuring Volatility in Dairy Commodity Prices

Declan O'Connor, Michael Keane and Edel Barnes
Authors registered in the RePEc Author Service: Declan O Connor

No 58106, 113th Seminar, September 3-6, 2009, Chania, Crete, Greece from European Association of Agricultural Economists

Abstract: The policy environment facing the EU dairy industry continues to undergo considerable change under WTO and CAP reform. Movement away from supply management by the EU and a more liberal global agricultural trading system will involve greater price volatility for dairy commodities. It is anticipated that EU dairy prices will more closely align with world prices. World prices are both lower and more volatile than EU prices and it is further assumed that this increased volatility will be transmitted to EU prices. Price volatility is a concern for a number of reasons as it adds challenges for business planning, debt repayment, and, in some cases, solvency. Representative EU and world butter and SMP (Skim Milk Powder) prices are considered and using the ARMA and GARCH framework their volatility is quantified.

Keywords: Agricultural and Food Policy; Food Consumption/Nutrition/Food Safety (search for similar items in EconPapers)
Pages: 16
Date: 2009
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:ags:eaa113:58106

DOI: 10.22004/ag.econ.58106

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