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Spatial price dependence by time scale: Empirical evidence from the international butter markets

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  • Fousekis, Panos
  • Grigoriadis, Vasilis

Abstract

The objective of the present work is to investigate price dependence (co-movement) in the international butter markets. This is pursued using monthly wholesale prices from Oceania and the European Union and two non-parametric tools, namely, the copulas and the wavelets. The empirical results suggest that: (a) The price linkages in the two butter-producing regions are weak in the short-run but they become much stronger in the long-run. (b) The time horizon (time scale) is relevant not only for the intensity but for the structure of price co-movement as well; in the long-run, there is an asymmetry in price dependence in the sense that strong positive shocks are transmitted with a higher intensity compared to strong negative ones.

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  • Fousekis, Panos & Grigoriadis, Vasilis, 2016. "Spatial price dependence by time scale: Empirical evidence from the international butter markets," Economic Modelling, Elsevier, vol. 54(C), pages 195-204.
    • Handle: RePEc:eee:ecmode:v:54:y:2016:i:c:p:195-204
    DOI: 10.1016/j.econmod.2015.12.023
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    3. Yoshito Funashima, 2018. "Macroeconomic policy coordination between Japanese central and local governments," Empirical Economics, Springer, vol. 54(4), pages 1631-1651, June.
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    6. Zhicheng Liang & Junwei Wang & Kin Keung Lai, 2020. "Dependence Structure Analysis and VaR Estimation Based on China’s and International Gold Price: A Copula Approach," International Journal of Information Technology & Decision Making (IJITDM), World Scientific Publishing Co. Pte. Ltd., vol. 19(01), pages 169-193, February.
    7. Rezitis, Anthony N. & Rokopanos, Andreas & Tsionas, Mike G., 2021. "Investigating dynamic price co-movements in the international milk market using copulas: The role of trade agreements," Economic Modelling, Elsevier, vol. 95(C), pages 215-227.

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    Copulas; Wavelets; Butter prices;
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