Commodity risk in European dairy firms

Abstract We apply a multivariate mixed-data sampling (MIDAS) conditional quantile regression technique to understand the dairy commodity exposure of European firms. Leveraging theoretically sound hedonic pricing framework, we show that our approach is able identify both market and operational risk. Profit margins for butter milk price are particularly important performance. Additional tests provided, including an application MIDAS on period amplified Our thus allows firms gain new perspectives significant risks posed by current structure production in Europe.