A time-varying and frequency-dependent network of conventional and organic milk markets in France and Germany

Abstract

This work investigates the linkages among conventional and organic milk markets in France and Germany using the flexible TVP-VAR connectedness approach. Price connectedness tends to be stronger in the spatial than in the quality dimension of the market network. The bulk of the adjustments to incoming price innovations are completed beyond the 3-month frequency range. Organic milk markets are more likely to be net-transmitters of shocks to conventional markets. Total connectedness has not been increasing. The strength of price spillovers between market pairs varies widely with time; their pattern does not, thus pointing to a fairly stable internal network structure.