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Journal Articles European Review of Agricultural Economics Year : 2022

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.

Dates and versions

hal-03545794 , version 1 (27-01-2022)

Identifiers

Cite

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