engleski

Price Transmission Analysis of Dairy Supply Chains: The Case of Germany

The German dairy market is one of the most important channels of food supply for consumers, enriching the daily table with food on a much wider scale than the German market itself. By analysing the price relationships between raw milk and different types of cheese – Gouda, Edam, and Emmental – especially through vertical transmission influences, the purpose of this paper is to study the prices efficacy relation. We used monthly prices for dairy products data from January 1990 to August 2019 along with various time series models (the vector autoregressive, the Engle-Granger error correction, and the asymmetric error correction with threshold cointegration). We also conducted extensive unit root, cointegration with regime shifts, and non- linearity in Engle-Granger ECM residuals testing in order to select the best modelling strategy. This paper reports the pricing relationship between milk and cheese levels within the German dairy market and tests for Granger causality. Using an asymmetric price transmission model for Gouda as the dependent variable regression, the study demonstrates that raw milk prices exert a causal impact on Gouda prices over two long-term successive periods. Using the Gregory-Hansen cointegration test among possible breakpoints, the breakpoint date established was towards the end of 2009. Furthermore, due to the stationarity of time series in the integral observation period, VAR modelling reveals that the Granger causality impact of prices on the other two kinds of cheese is mainly bi- directional.

dairy market, Germany, prices ; vertical transmission, time series modelling

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