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On the joint volatility dynamics in international dairy commodity markets
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 matrice...
Autores principales: | , |
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Formato: | Online Artículo Texto |
Lenguaje: | English |
Publicado: |
John Wiley and Sons Inc.
2021
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Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8362140/ https://www.ncbi.nlm.nih.gov/pubmed/34413698 http://dx.doi.org/10.1111/1467-8489.12433 |
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author | Rezitis, Anthony N. Kastner, Gregor |
author_facet | Rezitis, Anthony N. Kastner, Gregor |
author_sort | Rezitis, Anthony N. |
collection | PubMed |
description | 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. |
format | Online Article Text |
id | pubmed-8362140 |
institution | National Center for Biotechnology Information |
language | English |
publishDate | 2021 |
publisher | John Wiley and Sons Inc. |
record_format | MEDLINE/PubMed |
spelling | pubmed-83621402021-08-17 On the joint volatility dynamics in international dairy commodity markets Rezitis, Anthony N. Kastner, Gregor Aust J Agric Resour Econ Original Articles 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. John Wiley and Sons Inc. 2021-05-21 2021-07 /pmc/articles/PMC8362140/ /pubmed/34413698 http://dx.doi.org/10.1111/1467-8489.12433 Text en © 2021 The Authors. The Australian Journal of Agricultural and Resource Economics published by John Wiley & Sons Australia, Ltd on behalf of Australasian Agricultural and Resource Economics Society Inc. https://creativecommons.org/licenses/by/4.0/This is an open access article under the terms of the http://creativecommons.org/licenses/by/4.0/ (https://creativecommons.org/licenses/by/4.0/) License, which permits use, distribution and reproduction in any medium, provided the original work is properly cited. |
spellingShingle | Original Articles Rezitis, Anthony N. Kastner, Gregor On the joint volatility dynamics in international dairy commodity markets |
title | On the joint volatility dynamics in international dairy commodity markets
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title_full | On the joint volatility dynamics in international dairy commodity markets
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title_fullStr | On the joint volatility dynamics in international dairy commodity markets
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title_full_unstemmed | On the joint volatility dynamics in international dairy commodity markets
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title_short | On the joint volatility dynamics in international dairy commodity markets
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title_sort | on the joint volatility dynamics in international dairy commodity markets |
topic | Original Articles |
url | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8362140/ https://www.ncbi.nlm.nih.gov/pubmed/34413698 http://dx.doi.org/10.1111/1467-8489.12433 |
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