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Price co-movement in the principal skim milk powder producing regions: a wavelet analysis

Author

Listed:
  • Panos Fousekis

    (Massey University)

  • Vasilis Grigoriadis

    (Aristotle University)

Abstract

This paper investigates price co-movement in the principal skim milk powder (SMP) producing regions (the EU, Oceania, and the USA) using wavelet analysis and monthly data over 2001 to 2015. The empirical results suggest: First, the price linkages at the high frequencies are weak but they become progressively stronger as one considers longer time horizons. Second, the pair of regions (EU, Oceania) is more integrated than the pairs (EU, USA), and (Oceania, USA). Third, the SMP prices in the EU and in Oceania move together and lead prices in the USA.

Suggested Citation

  • Panos Fousekis & Vasilis Grigoriadis, 2016. "Price co-movement in the principal skim milk powder producing regions: a wavelet analysis," Economics Bulletin, AccessEcon, vol. 36(1), pages 477-492.
    • Handle: RePEc:ebl:ecbull:eb-15-00316
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    References listed on IDEAS

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    Cited by:

    1. Anthony N. Rezitis & Gregor Kastner, 2021. "On the joint volatility dynamics in dairy markets," Papers 2104.12707, arXiv.org.
    2. Dimitrios Panagiotou & Athanassios Stavrakoudis, 2023. "Price dependence among the major EU extra virgin olive oil markets: a time scale analysis," Review of Agricultural, Food and Environmental Studies, Springer, vol. 104(1), pages 1-26, March.
    3. Huidan Xue & Chenguang Li & Liming Wang & Wen-Hao Su, 2021. "Spatial Price Transmission and Price Dynamics of Global Butter Export Market under Economic Shocks," Sustainability, MDPI, vol. 13(16), pages 1-24, August.
    4. Funashima, Yoshito, 2017. "Time-varying leads and lags across frequencies using a continuous wavelet transform approach," Economic Modelling, Elsevier, vol. 60(C), pages 24-28.
    5. Rezitis, Anthony N. & Kastner, Gregor, 2021. "On the joint volatility dynamics in international dairy commodity markets," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 60(2), January.

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    More about this item

    Keywords

    Prices; skimmed milk powder; wavelets;
    All these keywords.

    JEL classification:

    • Q1 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture
    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General

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