Modeling The Behaviour of the Spot Prices of Various Types of Coffee

Jesus Otero and Costas Milas

The Warwick Economics Research Paper Series (TWERPS) from University of Warwick, Department of Economics

Abstract: 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.

Keywords: PRICING (search for similar items in EconPapers)
JEL-codes: E30 E31 (search for similar items in EconPapers)
Pages: 15 pages
Date: 1998
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Related works:
Working Paper: MODELLING THE BEHAVIOUR OF THE SPOT PRICES OF VARIOUS TYPES OF COFFEE (1998)
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Persistent link: https://EconPapers.repec.org/RePEc:wrk:warwec:524

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