Spatial price dependence by time scale: Empirical evidence from the international butter markets

•Analysis of price dependence between butter prices in Oceania and the EU•Wavelets are used initially to decompose the activity of the price changes by time scale.•Then, copulas are applied to extract information about dependence at different frequencies.•Global price co-movement increases with the time scale.•There is symmetric price co-movement at the low scales but asymmetric at the high ones.

The objective of the present work is to investigate price dependence (co-movement) in the international butter markets. This is pursued using monthly wholesale prices from Oceania and the European Union and two non-parametric tools, namely, the copulas and the wavelets. The empirical results suggest that: (a) The price linkages in the two butter-producing regions are weak in the short-run but they become much stronger in the long-run. (b) The time horizon (time scale) is relevant not only for the intensity but for the structure of price co-movement as well; in the long-run, there is an asymmetry in price dependence in the sense that strong positive shocks are transmitted with a higher intensity compared to strong negative ones.