Price linkages in major EU olive oil markets
Theofanous, P. (2023) Price linkages in major EU olive oil markets. Doctoral thesis, Harper Adams University.
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Abstract
This thesis analyses price relations in virgin and extra virgin olive oil markets focusing on Spain, Italy, and Greece. Research investigating price dependence in these markets is limited. Therefore, this study examines the degree of market integration and efficiency, as well as price leadership through short and long-run relations, considering structural breaks and possible asymmetries in the price transmission process. This is pursued using a mixed method approach utilising both qualitative and quantitative tools. The literature review chapter employs a systematic map to collate existing evidence around price dependence in EU edible oil markets spanning the period 1993-2020, and to contextualise the research gap. Results yield mixed evidence regarding price patterns in EU edible oil markets, with most sources confirming the presence of asymmetries. Furthermore, the empirical chapter is divided into two sub-sections analysing two olive oil qualities: virgin and extra virgin olive oil. Wholesale monthly price data for Spain, Italy, and Greece are employed covering the period 2000-2022. Regarding virgin olive oil, results from Diks-Panchenko causality test indicate that Spain leads price formation. Although market integration is supported through the Momentum Threshold Autoregressive model, asymmetries are present between Italy-Spain and Greece-Spain. However, a symmetric pattern is revealed for Greece-Italy and the Law of One Price is confirmed. In terms of extra virgin olive oil, results from the Hacker-Hatemi-J and Diks-Panchenko causality tests identify Italy as the central market. Market integration is confirmed through the Non-linear Autoregressive Distributed Lag model with a weaker cointegrating relationship for Italy-Spain, and mixed results regarding the price transmission pattern for all pairs. Symmetry is only confirmed in the case of Italy-Spain; however, the Law of One Price is rejected, suggesting inefficiencies in the markets. Thus, the need for further research to recommend policy interventions is highlighted.
| Item Type: | Thesis (Doctoral) |
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| Divisions: | Harper Adams Business School |
| Depositing User: | Mrs Terésa-Marie Brown |
| Date Deposited: | 26 Nov 2024 12:23 |
| Last Modified: | 26 Nov 2024 12:23 |
| URI: | https://hau.repository.guildhe.ac.uk/id/eprint/18144 |
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