Quotation Rezitis, Anthony N., Kastner, Gregor. 2021. On the joint volatility dynamics in international dairy commodity markets. Australian Journal of Agricultural and Resource Economics. 65 (3), 704-728.


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Abstract

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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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Journal article
Journal Australian Journal of Agricultural and Resource Economics
Citation Index SCI
WU-Journal-Rating new VW-D
Language English
Title On the joint volatility dynamics in international dairy commodity markets
Volume 65
Number 3
Year 2021
Page from 704
Page to 728
Reviewed? Y
DOI https://doi.org/10.1111/1467-8489.12433
Open Access Y
Open Access Link https://doi.org/10.1111/1467-8489.12433

Associations

People
Kastner, Gregor (Details)
External
Rezitis, Anthony N. (Agricultural University of Athens, Austria)
Research areas (ÖSTAT Classification 'Statistik Austria')
1105 Computer software (Details)
1162 Statistics (Details)
5323 Econometrics (Details)
5701 Applied statistics (Details)
5707 Time series analysis (Details)
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