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

中文翻译：

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欧洲乳制品公司的商品风险

我们应用多元混合数据抽样 (MIDAS) 条件分位数回归技术来了解欧洲乳制品公司的乳制品风险敞口。利用理论上合理的享乐乳制品定价框架，我们表明我们的方法能够识别市场和运营风险。黄油和牛奶价格的利润率对于经营业绩尤为重要。提供了额外的测试，包括在放大的乳制品市场风险时期应用 MIDAS 分位数。因此，我们的方法使乳制品公司能够对欧洲当前乳制品生产结构所带来的重大风险获得新的认识。