Skip to Main content Skip to Navigation
Journal articles

Commodity risk in European dairy firms

Abstract : Abstract We apply a multivariate mixed-data sampling (MIDAS) conditional quantile regression technique to understand the dairy commodity exposure of European dairy firms. Leveraging a theoretically sound hedonic dairy pricing framework, we show that our approach is able to identify both market and operational risk. Profit margins for butter and milk price are particularly important for operational performance. Additional tests are provided, including an application of MIDAS quantile on a period of amplified dairy market risk. Our approach thus allows dairy firms to gain new perspectives on the significant risks posed by the current structure of dairy production in Europe.
Document type :
Journal articles
Complete list of metadata
Contributor : Isabelle Robert Connect in order to contact the contributor
Submitted on : Thursday, January 27, 2022 - 2:38:51 PM
Last modification on : Saturday, August 6, 2022 - 3:22:32 AM

Links full text




Guillaume Bagnarosa, Mark Cummins, Michael Dowling, Fearghal Kearney. Commodity risk in European dairy firms. European Review of Agricultural Economics, Oxford University Press (OUP), 2022, 49 (1), pp.151-181. ⟨10.1093/erae/jbab050⟩. ⟨hal-03545794⟩



Record views