This article investigates the strength and the pattern of spatial price linkages in skimmed milk powder markets using monthly wholesale price data from three major producers and exporters (the USA, the EU, and Oceania) and the Nonlinear Autoregressive Distributed Lag Model. The results suggest that prices in the three regions considered are linked with stable long-run relationships. The Law of One Price, however, does not hold. The dominant pattern of transmission in the long-run is asymmetric involving positive price stocks to be transmitted with higher intensity compared to negative prices shocks; asymmetries in price transmission exist in the short-run as well.
Fousekis, PanosTrachanas, Emmanouil
Faculty of Business\Department of Accounting, Finance and Economics
Year of publication: 2016Date of RADAR deposit: 2017-06-26