Commodity risk in European dairy firms
Bagnarosa, Guillaume and Cummins, Mark and Dowling, Michael and Kearney, Fearghal (2022) Commodity risk in European dairy firms. European Review of Agricultural Economics, 49 (1). pp. 151-181. ISSN 1464-3618 (https://doi.org/10.1093/erae/jbab050)
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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.
ORCID iDs
Bagnarosa, Guillaume, Cummins, Mark ORCID: https://orcid.org/0000-0002-3539-8843, Dowling, Michael and Kearney, Fearghal;-
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Item type: Article ID code: 82285 Dates: DateEvent1 January 2022Published16 November 2021Published Online8 November 2021AcceptedSubjects: Social Sciences > Finance
Social Sciences > Economic History and ConditionsDepartment: Strathclyde Business School > Accounting and Finance Depositing user: Pure Administrator Date deposited: 08 Sep 2022 15:34 Last modified: 20 Sep 2024 00:44 URI: https://strathprints.strath.ac.uk/id/eprint/82285