Price transmission in the international skim milk powder markets

Fousekis, Panos; Trachanas, Emmanouil

doi:10.1080/00036846.2016.1173183

Cited by 26 publications

(38 citation statements)

References 31 publications

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“…The ECTinduces a significantly greater change in the farm price than the ECT + . Similar results were reported by several studies for spatial price transmission of international milk prices to domestic milk prices (35,36,37) .…”

Section: Spatial Vector Error Correction Modelsupporting

confidence: 90%

Vertical and spatial price transmission in the Mexican and international milk market

Villanueva

Palacios-Orozco

2019

Rev. Mex. Cienc. Pecu.

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During the last two decades, the Mexican dairy sector experienced important structural changes, especially after the implementation of the NAFTA agreement. In 2016, the Bank of Mexico observed that in milk market, the final prices tend to rise when input prices increase, however; they do not decrease when input prices decrease. In this context, this study examines the degree of spatial and vertical price transmission between farm milk prices and international milk prices as well as between farm milk prices and retail milk prices, in order to assess the efficiency level of the Mexican and international dairy market. The findings of this research provide contributions to decision makers and industry stake-holders: a unidirectional transmission of international milk prices to domestic milk prices and from farm price to retail price along with the existence of asymmetric price transmission which depends on whether milk prices are increasing or decreasing. The results have shown that a long-run single co-integration relationship exists between international and farmer's prices and between retail and farm price; that the direction of price transmission tends to go from producers to retailers and from international to farmer price and that when international price increase the speed of adjustment tend to be significantly slower, and that when international

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Section: Spatial Vector Error Correction Modelsupporting

confidence: 90%

Vertical and spatial price transmission in the Mexican and international milk market

Villanueva

Palacios-Orozco

2019

Rev. Mex. Cienc. Pecu.

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“…Note that Australia and New Zealand are modelled as a single market. Australia and New Zealand both enjoy advantages relating to competitive production costs (Zhang et al ) and are both strong supporters of free trade in dairy commodities, unlike the EU and the United States which still apply trade‐distorting policies (Fousekis and Trachanas ). Therefore, their combination in a single market is quite common in the literature (e.g.…”

Section: Datamentioning

confidence: 99%

Impact of trade liberalisation on dairy market price co‐movements between the EU, Oceania, and the United States

Rezitis

Rokopanos

2019

Aus J Agri & Res Econ

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This study investigates the impact of trade liberalisation on the spatial price co‐movements between the dairy markets of the EU, Oceania, and the United States. We consider two main dairy products, namely butter and whole milk powder (WMP), and employ R‐Vines to assess the development of the tail dependence between the price series. We split the time span (i.e. 2000‐2017) in December 2007 to capture the change in the tail dependence as well as in the potential of each region to act as the central market. Our findings indicate that the EU acts as the central market for butter in both sub‐periods, whereas the EU succeeds Oceania in acting as the central market for WMP from the first sub‐period to the next. Further findings highlight slightly increasing tail dependence in the butter market and in the WMP market for the EU‐OCE and EU‐US pairs. However, the tail dependence for the WMP prices between Oceania and the United States weakens, in which we attribute to the 2013 Chinese ban on milk powder imports from Oceania.

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“…Over the past two decades, the international dairy commodity market has experienced episodic periods of extreme price volatility combined with periods of comparative price stability. In particular since 2007, regional dairy markets in the EU, the United States, and Oceania have become interrelated and dairy has evolved into a global market (Fousekis et al 2017 ; Fousekis & Trachanas, 2016 ; Newton, 2016 ). Dairy prices are inherently volatile due to the perishable nature of milk, seasonal production, and a combination of an inelastic demand with unanticipated variation in supply caused by factors such as weather and disease.…”

Section: Introductionmentioning

confidence: 99%

On the joint volatility dynamics in international dairy commodity markets*

Rezitis¹,

Kastner²

2021

Aus J Agri & Res Econ

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The present study investigates the price (co)volatility of four dairy commodities-skim milk powder, whole milk powder, butter, and cheddar cheese-in three major dairy markets. It uses a multivariate factor stochastic volatility model for estimating the time-varying covariance and correlation matrices by imposing a low-dimensional latent dynamic factor structure. The empirical results support four factors representing the European Union and Oceania dairy sectors as well as the milk powder markets. Factor volatilities and marginal posterior volatilities of each dairy commodity increase after the 2006/07 global (food) crisis, which also coincides with the free trade agreements enacted from 2007 onward and EU and US liberalization policy changes. The model-implied correlation matrices show increasing dependence during the second half of 2006, throughout the first half of 2007, as well as during 2008 and 2014, which can be attributed to various regional agricultural dairy policies. Furthermore, in-sample value at risk measures (VaRs and CoVaRs) are provided for each dairy commodity under consideration.

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Price transmission in the international skim milk powder markets

Cited by 26 publications

References 31 publications

Vertical and spatial price transmission in the Mexican and international milk market

Vertical and spatial price transmission in the Mexican and international milk market

Impact of trade liberalisation on dairy market price co‐movements between the EU, Oceania, and the United States

On the joint volatility dynamics in international dairy commodity markets*

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