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

Panos Fousekis*, Vasilis Grigoriadis

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

10 Citations (Scopus)

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.

Original languageEnglish
Pages (from-to)337-357
Number of pages21
JournalEuropean Review of Agricultural Economics
Volume44
Issue number2
Early online date26 Aug 2016
DOIs
Publication statusPublished - Apr 2017
Externally publishedYes

Bibliographical note

Publisher Copyright:
© Oxford University Press and Foundation for the European Review of Agricultural Economics 2016; all rights reserved.

Copyright:
Copyright 2017 Elsevier B.V., All rights reserved.

Keywords

  • Asymmetry
  • Coffee
  • Copulas
  • Price linkages

ASJC Scopus subject areas

  • Agricultural and Biological Sciences (miscellaneous)
  • Economics and Econometrics

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