Recently,　the　world　has　experienced　striking　economic　and　policy　changes,　and　subsequent　uncertainties　have　impacts　on　dairy　trade　price　fluctuations.　The　Global　Vector　Autoregressive　(GVAR)　methodology　was　established　in　this　paper　to　better　understand　international　butter　export　prices　transmission,　the　feedback　between　the　economic　context　changes　and　price　fluctuations,　and　the　link　between　the　global　butter　market,　energy　market,　and　other　commodity　markets.　We　assessed　which　key　factors　are　typically　associated　with　butter　export　price　movements　with　regards　to　shocks　to　crude　oil　price,　palm　oil　price,　farm-gate　raw　milk　price,　exchange　rates,　and　consumer　price　index　(CPI)　for　food　of　the　EU,　New　Zealand,　the　U.S.,　and　the　rest　of　world　(RoW),　respectively.　Using　generalized　impulse　response　functions,　this　study　found　that　decreases　in　farm-gate　raw　milk　price　could　be　swiftly　transmitted　to　butter　export　prices　of　not　only　a　home　country　but　other　foreign　countries.　However,　palm　oil　price　and　crude　oil　price　merely　affects　global　butter　export　prices.　We　also　found　that　U.S.　dollar　depreciations　against　the　Euro　will　cause　a　decline　in　U.S.　butter　export　price.　It　is　concluded　that　butter　export　markets　are　not　well-integrated,　yet　butter　export　prices　of　New　Zealand　and　the　U.S.　are　highly　linked.