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Commodity risk in European dairy firms

Bagnarosa, Guillaume orcid logoORCID: 0000-0002-3679-790X, Cummins, Mark orcid logoORCID: 0000-0002-3539-8843, Dowling, Michael orcid logoORCID: 0000-0002-8093-9039 and Kearney, Fearghal orcid logoORCID: 0000-0002-3251-8707 (2021) Commodity risk in European dairy firms. European Review of Agricultural Economics, 49 (1). pp. 151-181. ISSN 0165-1587

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.
Metadata
Item Type:Article (Published)
Refereed:Yes
Uncontrolled Keywords:European dairy firms; dairy commodities; mixed-data sampling; dairy markets
Subjects:Business > Economics
Business > Finance
DCU Faculties and Centres:DCU Faculties and Schools > DCU Business School
Publisher:Oxford University Press
Official URL:https://doi.org/10.1093/erae/jbab050
Copyright Information:© 2021 The Authors. Open Access (CC-BY-4.0)
Funders:Agribusiness Area of Excellence in Rennes School of Business.
ID Code:26703
Deposited On:21 Feb 2022 13:16 by Michael Dowling . Last Modified 21 Feb 2022 13:33
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