Joint price dynamics of quality differentiated commodities: copula evidence from coffee varieties

Panos Fousekis and Vasilis Grigoriadis

European Review of Agricultural Economics, 2017, vol. 44, issue 2, 337-358

Abstract: The objective of this article is to investigate the intensity and the mode of price linkages for quality differentiated coffee beans. This is pursued using monthly spot prices from 1990 to 2015 and nonparametric copulas. The empirical findings suggest that: (i) The price interrelationships are stronger among the Arabica beans than between the individual Arabica and the Robusta beans; also, price co-movement is higher (lower) where the quality difference is smaller (larger). (ii) There is symmetric price co-movement under positive and negative price shocks; that means, shocks of the same absolute magnitude but of different sign are transmitted from one coffee market to another with the same intensity. The transmission of shocks, however, of the same sign but of different magnitude is asymmetric; in particular, larger (in absolute value) price shocks are transmitted with higher intensity compared with smaller ones.

Keywords: price linkages; coffee; copulas; asymmetry (search for similar items in EconPapers)
JEL-codes: C10 Q13 (search for similar items in EconPapers)
Date: 2017
References: Add references at CitEc
Citations: View citations in EconPapers (9)

Downloads: (external link)
http://hdl.handle.net/10.1093/erae/jbw015 (application/pdf)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:oup:erevae:v:44:y:2017:i:2:p:337-358.

Ordering information: This journal article can be ordered from
https://academic.oup.com/journals

Access Statistics for this article

European Review of Agricultural Economics is currently edited by Timothy Richards, Salvatore Di Falco, Céline Nauges and Vincenzina Caputo

More articles in European Review of Agricultural Economics from Oxford University Press and the European Agricultural and Applied Economics Publications Foundation Oxford University Press, Great Clarendon Street, Oxford OX2 6DP, UK. Contact information at EDIRC.
Bibliographic data for series maintained by Oxford University Press ().