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Panos Fousekis and Vasilis Grigoriadis
''Price co-movement in the principal skim milk powder producing regions: a wavelet analysis''
( 2016, Vol. 36 No.1 )
This paper investigates price co-movement in the principal skim milk powder (SMP) producing regions (the EU, Oceania, and the USA) using wavelet analysis and monthly data over 2001 to 2015. The empirical results suggest: First, the price linkages at the high frequencies are weak but they become progressively stronger as one considers longer time horizons. Second, the pair of regions (EU, Oceania) is more integrated than the pairs (EU, USA), and (Oceania, USA). Third, the SMP prices in the EU and in Oceania move together and lead prices in the USA.
Keywords: Prices, skimmed milk powder, wavelets
JEL: Q1 - Agriculture: General
C1 - Econometric and Statistical Methods: General
Manuscript Received : May 19 2015 Manuscript Accepted : Mar 17 2016

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