On the joint volatility dynamics in international dairy commodity markets

The present study investigates the price (co)volatility of four dairy commodities—skim milk powder, whole milk powder, butter, and cheddar cheese—in three major dairy markets. It uses a multivariate factor stochastic volatility model for estimating the time-varying covariance and correlation matrices by imposing a low-dimensional latent dynamic factor structure. The empirical results support four factors representing the European Union and Oceania dairy sectors as well as the milk powder markets. Factor volatilities and marginal posterior volatilities of each dairy commodity increase after the 2006/07 global (food) crisis, which also coincides with the free trade agreements enacted from 2007 onward and EU and US liberalization policy changes. The model-implied correlation matrices show increasing dependence during the second half of 2006, throughout the first half of 2007, as well as during 2008 and 2014, which can be attributed to various regional agricultural dairy policies. Furthermore, in-sample value at risk measures (VaRs and CoVaRs) are provided for each dairy commodity under consideration.

本研究针对三大乳制品市场中四类乳制品的价格（共）波动率开展研究，具体包括脱脂乳粉（skim milk powder）、全脂乳粉（whole milk powder）、黄油（butter）与切达干酪（cheddar cheese）。本研究采用多元因子随机波动率模型，通过引入低维潜在动态因子结构，实现时变协方差与相关矩阵的估计。实证结果表明存在四类因子，分别对应欧盟（European Union, EU）与大洋洲乳制品产业，以及乳粉市场。2006/2007年全球（食品）危机爆发后，各乳制品商品的因子波动率与边际后验波动率均显著上升；这一时期恰好与2007年起生效的自由贸易协定，以及欧盟与美国的自由化政策调整相契合。模型推导得到的相关矩阵显示，2006年下半年、2007年上半年全程，以及2008年与2014年期间，商品间的联动性持续增强，这一现象可归因于各区域出台的各类农业乳制品政策。此外，本研究还为所考察的全部四类乳制品提供了样本内风险价值（Value at Risk, VaR）与条件风险价值（Conditional Value at Risk, CoVaR）测度指标。