On the joint volatility dynamics in international dairy commodity markets
| Autor: | Anthony N. Rezitis, Gregor Kastner |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2021 |
| Předmět: |
Economics and Econometrics
101018 Statistik multivariate statistics 502025 Ökonometrie Commodity factor stochastic volatility Globalization Economics Econometrics media_common.cataloged_instance European union C32 Free trade C11 media_common 102022 Softwareentwicklung Stochastic volatility Liberalization 101018 Statistics dynamic correlation Q17 Original Articles Q18 Agricultural and Biological Sciences (miscellaneous) 102022 Software development free trade agreements 101026 Time series analysis global food crisis 101026 Zeitreihenanalyse 502025 Econometrics dynamic covariance Original Article Volatility (finance) globalization Value at risk |
| Zdroj: | The Australian Journal of Agricultural and Resource Economics |
| ISSN: | 1467-8489 1364-985X |
| Popis: | 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. |
| Databáze: | OpenAIRE |
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