On Price Dynamics for Different Qualities of Coffee

Atanu Ghoshray
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Atanu Ghoshray: Atanu Ghoshray is a Lecturer in Economics at the Department of Economics & International Development, University of Bath, Claverton Down,UK. E-mail: A.Ghoshray@bath.ac.uk

Review of Market Integration, 2009, vol. 1, issue 1, 103-118

Abstract: This paper conducts an examination of the price relationships of different qualities of coffee and how prices adjust over time in relation to each other. The main result shows that using threshold models, the coffee market may be considered to be highly integrated, contrary to the results obtained using standard cointegration methods. Further, the results indicate that either prices adjust to any deviation only when they are increasing or decreasing, or that a rise in the price of a high quality coffee might lead to a slower rise in the price of a relatively lower quality coffee, while a decline in higher quality coffee prices might trigger a relatively rapid fall in lower quality coffee. The paper concludes by providing an explanation to this asymmetric price adjusting behaviour.

Keywords: Coffee prices; cointegration; TAR; M-TAR; consistent threshold; asymmetric price adjustment; JEL Classification: F15; JEL Classification: Q13 (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:sae:revmar:v:1:y:2009:i:1:p:103-118

DOI: 10.1177/097492920900100106

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