Modelling the behaviour of the spot prices of various types of coffee
Otero, Jesus and Milas, Costas (1998) Modelling the behaviour of the spot prices of various types of coffee. Working Paper. Coventry: University of Warwick, Department of Economics. (Warwick economic research papers).
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This paper investigates long-run relationships among the spot prices of four coffee types. We find two cointegrating vectors: one between the prices of Other Milds and Colombian coffee, and the other one between Unwashed Arabicas and Robustas. Following Pesaran and Shin (1996), persistence profile analysis of the two cointegrating vectors shows a rapid adjustment towards their equilibrium value. This suggests that the four coffee markets are highly related, and that discrepancies in the equilibrium relationships are short-lived. Out of sample evaluation of the model is reasonably good, except for two occasions of sharp price increases following adverse weather conditions.
|Item Type:||Working or Discussion Paper (Working Paper)|
|Subjects:||H Social Sciences > HF Commerce
H Social Sciences > HG Finance
|Divisions:||Faculty of Social Sciences > Economics|
|Library of Congress Subject Headings (LCSH):||Coffee -- Economic aspects, Spot prices, Prices -- Econometric models, Consumption (Economics), Commodity exchanges|
|Series Name:||Warwick economic research papers|
|Publisher:||University of Warwick, Department of Economics|
|Place of Publication:||Coventry|
|Number of Pages:||18|
|Status:||Not Peer Reviewed|
|Access rights to Published version:||Open Access|
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