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. University of Warwick, Department of Economics, Coventry.
WRAP_Otero_524_dpaper.pdf - Requires a PDF viewer such as GSview, Xpdf or Adobe Acrobat Reader
Official URL: http://www2.warwick.ac.uk/fac/soc/economics/resear...
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|Status:||Not Peer Reviewed|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|
|References:||Adams, G. and J. Behrman (1982). Commodity Exports and Economic Development: the Commodity Problem and Policy in Developing Countries, Lexington Books, Massachusetts. Cheung, Y.W. and K.S. Lai (1993). ‘Finite-sample sizes of Johansen’s likelihood ratio tests for cointegration’, Oxford Bulletin of Economics and Statistics, 55, 313-328. Hendry, D.F. and J.A. Doornik (1997). Modelling Dynamic Systems Using PcFiml 9.0 for Windows, International Thomson Business Press. Johansen, S. (1988). ‘Statistical analysis of cointegration vectors’, Journal of Economic Dynamics and Control, 12, 231-254. Johansen, S. (1995). Likelihood-based Inference in Cointegrated Vector Autoregressive Models, Oxford University Press, Oxford. Junguito, R. and D. Pizano (1993). El Comercio Exterior y la Política Internacional del Café. Fondo Cultural Cafetero – Fedesarrollo, Bogota. Lütkepohl H. (1991). Introduction to Multiple Time Series Analysis, Springer-Verlag, New York. Osterwald-Lenum, M. (1992). ‘A note with quantiles of the asymptotic distribution of the maximum likelihood cointegration rank test statistics’, Oxford Bulletin of Economics and Statistics, 54, 461-472. Pesaran, M.H. and B. Pesaran (1997). Microfit 4.0: An Interactive Econometric Software Package, Oxford University Press, Oxford. Pesaran, M.H. and Y.S. Shin (1995). ‘Long-run structural modelling’, DAE Working Paper 9419, University of Cambridge. Pesaran, M.H. and Y.S. Shin (1996). ‘Cointegration and speed of convergence to equilibrium’, Journal of Econometrics, 71, 117-143. Vogelvang, E. (1992). ‘Hypothesis testing concerning relationships between spot prices of various types of coffee’, Journal of Applied Econometrics, 7, 191-201. World Bank (1993). World Development Report, Oxford University Press, Oxford. World Bank. ‘Commodity Markets and the Developing Countries’. A World Bank Business Quarterly, various issues.|
Actions (login required)