Connectedness between conventional and organic milk prices in the USA

The objective of this work is to assess the linkages between conventional and organic milk markets in the US. To this end, it employs the recently developed Quantile Frequency Connectedness (QFC) model and monthly retail prices from January 2009 to February 2024. The empirical results suggest: First, price connectedness is both quantile- and frequency-dependent. Second, adjustments to incoming information are likely to completed within 3 months. Third, large (in absolute value) price shocks result in stronger price connectedness relative to small. Fourth, where asymmetric connectedness exists, it points to the conventional milk market as a net transmitter of shocks to organic. Fifth, although the retail share of organic milk has increased rapidly, the intensity of price connectedness remained fairly stable over time.