Price and volatility transmission in, and between, skimmed milk powder, livestock feed and oil markets

被引：4

作者：

Bergmann, Dennis ^{[1
]}

O'Connor, Declan ^{[2
]}

Thuemmel, Andreas ^{[1
]}

机构：

[1] Darmstadt Univ Appl Sci, Darmstadt, Germany

[2] Cork Inst Technol, Cork, Ireland

来源：

OUTLOOK ON AGRICULTURE | 2017年 / 46卷 / 04期

关键词：

Dairy industry; soybeans; crude oil; multivariate GARCH; cointegration; ETHANOL MARKETS; CORN; MODELS; SECTOR;

D O I：

10.1177/0030727017744928

中图分类号：

S [农业科学];

学科分类号：

09 ;

摘要：

Price and volatility transmission effects between European Union (EU) and World skimmed milk powder (SMP) prices, as well as those between both SMP series, soybeans and crude oil prices from 2004 to 2014 were analysed using a vector error correction model combined with a multivariate GARCH model. The results show significant transmission effects between EU and World SMP prices, but no significant transmission effects from soybeans or crude oil to either of the SMP prices. For policymakers and modellers, these results indicate the need to consider World SMP prices when considering EU prices. On the other hand, the finding of no transmission effects from soybean to SMP prices reduces the opportunity for a successful cross-hedging for dairy commodities using well-established soybean derivative markets.

引用

页码：248 / 257

页数：10

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