IDEAS home Printed from https://ideas.repec.org/a/ags/agreko/347967.html
   My bibliography  Save this article

Are there periodically collapsing bubble behaviours in the global coffee market?

Author

Listed:
  • Wang, Kai-Hua
  • Su, Chi-Wei
  • Tao, Ran
  • Hao, Lin-Na

Abstract

This paper investigates price bubbles in the global coffee market using the generalised supremum augmented Dickey-Fuller test. This approach can recognise multiple bubbles and date their origination and termination. The empirical results show that three bubbles existed in the coffee market from January 1990 to September 2017, during which the coffee price deviated from its fundamental value. Mismatch between supply and demand, speculation, US dollar fluctuations and climate change are applied to explain these bubbles. Corresponding policies, such as the prevention of pests and disease, emergency assistance, market structure improvement and recognition of US dollar fluctuations, should be emphasised to relieve the negative impacts of excessive coffee price volatility.

Suggested Citation

  • Wang, Kai-Hua & Su, Chi-Wei & Tao, Ran & Hao, Lin-Na, 2019. "Are there periodically collapsing bubble behaviours in the global coffee market?," Agrekon, Agricultural Economics Association of South Africa (AEASA), vol. 59(1), July.
    • Handle: RePEc:ags:agreko:347967
    DOI: 10.22004/ag.econ.347967
    as

    Download full text from publisher

    File URL: https://ageconsearch.umn.edu/record/347967/files/Are%20there%20periodically%20collapsing%20bubble%20behaviours%20in%20the%20global%20coffee%20market%20.pdf
    Download Restriction: no
    File URL: https://libkey.io/10.22004/ag.econ.347967?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. Peter C. B. Phillips & Shuping Shi & Jun Yu, 2015. "Testing For Multiple Bubbles: Historical Episodes Of Exuberance And Collapse In The S&P 500," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 56(4), pages 1043-1078, November.
    2. Osterwald-Lenum, Michael, 1992. "A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 461-472, August.
    3. Adämmer, Philipp & Bohl, Martin T., 2015. "Speculative bubbles in agricultural prices," The Quarterly Review of Economics and Finance, Elsevier, vol. 55(C), pages 67-76.
    4. John Y. Campbell & Pierre Perron, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots," NBER Chapters, in: NBER Macroeconomics Annual 1991, Volume 6, pages 141-220, National Bureau of Economic Research, Inc.
    5. Piesse, Jenifer & Thirtle, Colin, 2009. "Three bubbles and a panic: An explanatory review of recent food commodity price events," Food Policy, Elsevier, vol. 34(2), pages 119-129, April.
    6. Christopher L. Gilbert, 2010. "How to Understand High Food Prices," Journal of Agricultural Economics, Wiley Blackwell, vol. 61(2), pages 398-425, June.
    7. Peter C. B. Phillips & Shu-Ping Shi & Jun Yu, 2011. "Testing for Multiple Bubbles," Working Papers CoFie-03-2011, Singapore Management University, Sim Kee Boon Institute for Financial Economics.
    8. Hall, Stephen G & Psaradakis, Zacharias & Sola, Martin, 1999. "Detecting Periodically Collapsing Bubbles: A Markov-Switching Unit Root Test," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(2), pages 143-154, March-Apr.
    9. Jian Li & Jean-Paul Chavas & Xiaoli L. Etienne & Chongguang Li, 2017. "Commodity price bubbles and macroeconomics: evidence from the Chinese agricultural markets," Agricultural Economics, International Association of Agricultural Economists, vol. 48(6), pages 755-768, November.
    10. Robert J. Shiller, 1984. "Stock Prices and Social Dynamics," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 15(2), pages 457-510.
    11. Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178.
    12. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
    13. Pindyck, Robert S, 1993. "The Present Value Model of Rational Commodity Pricing," Economic Journal, Royal Economic Society, vol. 103(418), pages 511-530, May.
    14. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-1072, June.
    15. Zhang, Yue-Jun & Yao, Ting, 2016. "Interpreting the movement of oil prices: Driven by fundamentals or bubbles?," Economic Modelling, Elsevier, vol. 55(C), pages 226-240.
    16. Tadahiro Nakajima & Shigeyuki Hamori, 2012. "Testing for Rational Bubbles in the Commodity Market," Accounting and Finance Research, Sciedu Press, vol. 1(2), pages 101-101, November.
    17. Su, Chi-Wei & Li, Zheng-Zheng & Chang, Hsu-Ling & Lobonţ, Oana-Ramona, 2017. "When Will Occur the Crude Oil Bubbles?," Energy Policy, Elsevier, vol. 102(C), pages 1-6.
    18. Evans, George W, 1991. "Pitfalls in Testing for Explosive Bubbles in Asset Prices," American Economic Review, American Economic Association, vol. 81(4), pages 922-930, September.
    19. Cooke, Bryce & Robles, Miguel, 2009. "Recent food prices movements: A time series analysis," IFPRI discussion papers 942, International Food Policy Research Institute (IFPRI).
    20. Tirole, Jean, 1985. "Asset Bubbles and Overlapping Generations," Econometrica, Econometric Society, vol. 53(6), pages 1499-1528, November.
    21. Charemza, Wojciech W. & Deadman, Derek F., 1995. "Speculative bubbles with stochastic explosive roots: The failure of unit root testing," Journal of Empirical Finance, Elsevier, vol. 2(2), pages 153-163, June.
    22. Su, Chi-Wei & Wang, Kai-Hua & Chang, Hsu-Ling & Dumitrescu–Peculea, Adelina, 2017. "Do iron ore price bubbles occur?," Resources Policy, Elsevier, vol. 53(C), pages 340-346.
    23. Luciano Gutierrez, 2013. "Speculative bubbles in agricultural commodity markets-super- †," European Review of Agricultural Economics, Oxford University Press and the European Agricultural and Applied Economics Publications Foundation, vol. 40(2), pages 217-238, March.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Su, Chi-Wei & Wang, Kai-Hua & Chang, Hsu-Ling & Dumitrescu–Peculea, Adelina, 2017. "Do iron ore price bubbles occur?," Resources Policy, Elsevier, vol. 53(C), pages 340-346.
    2. Wang, Kai-Hua & Su, Chi-Wei & Lobonţ, Oana-Ramona & Moldovan, Nicoleta-Claudia, 2020. "Chinese renewable energy industries’ boom and recession: Evidence from bubble detection procedure," Energy Policy, Elsevier, vol. 138(C).
    3. Assaf, Ata & Demir, Ender & Ersan, Oguz, 2024. "Detecting and date-stamping bubbles in fan tokens," International Review of Economics & Finance, Elsevier, vol. 92(C), pages 98-113.
    4. Khan, Khalid & Derindere Köseoğlu, Sinem, 2020. "Is palladium price in bubble?," Resources Policy, Elsevier, vol. 68(C).
    5. Su, Chi-Wei & Li, Zheng-Zheng & Chang, Hsu-Ling & Lobonţ, Oana-Ramona, 2017. "When Will Occur the Crude Oil Bubbles?," Energy Policy, Elsevier, vol. 102(C), pages 1-6.
    6. Bohl, Martin T., 2003. "Periodically collapsing bubbles in the US stock market?," International Review of Economics & Finance, Elsevier, vol. 12(3), pages 385-397.
    7. Khalid Khan & Chi-Wei Su & Adnan Khurshid & Muhammad Umar, 2022. "Are there bubbles in the vanilla price?," Agricultural and Food Economics, Springer;Italian Society of Agricultural Economics (SIDEA), vol. 10(1), pages 1-16, December.
    8. Qin, Meng & Mirza, Nawazish & Su, Chi-Wei & Umar, Muhammad, 2023. "Exploring Bubbles in the Digital Economy: The Case of China," Global Finance Journal, Elsevier, vol. 57(C).
    9. Etienne, Xiaoli L. & Irwin, Scott H. & Garcia, Philip, 2014. "Bubbles in food commodity markets: Four decades of evidence," Journal of International Money and Finance, Elsevier, vol. 42(C), pages 129-155.
    10. Khan, Khalid & Su, Chi-Wei & Umar, Muhammad & Yue, Xiao-Guang, 2021. "Do crude oil price bubbles occur?," Resources Policy, Elsevier, vol. 71(C).
    11. Koy, Ayben, 2018. "Testing Multi Bubbles for Commodity Derivative Markets: A Study on MCX," Business and Economics Research Journal, Uludag University, Faculty of Economics and Administrative Sciences, vol. 9(2), pages 291-299, April.
    12. Su, Chi Wei & Qin, Meng & Chang, Hsu-Ling & Țăran, Alexandra-Mădălina, 2023. "Which risks drive European natural gas bubbles? Novel evidence from geopolitics and climate," Resources Policy, Elsevier, vol. 81(C).
    13. Ma, Richie Ruchuan & Xiong, Tao, 2021. "Price explosiveness in nonferrous metal futures markets," Economic Modelling, Elsevier, vol. 94(C), pages 75-90.
    14. Zhuo Chen & Bo Yan & Hanwen Kang, 2023. "Price bubbles of agricultural commodities: evidence from China’s futures market," Empirical Economics, Springer, vol. 64(1), pages 195-222, January.
    15. Su, Chi-Wei & Li, Zheng-Zheng & Tao, Ran & Si, Deng-Kui, 2018. "Testing for multiple bubbles in bitcoin markets: A generalized sup ADF test," Japan and the World Economy, Elsevier, vol. 46(C), pages 56-63.
    16. Adämmer, Philipp & Bohl, Martin T., 2015. "Speculative bubbles in agricultural prices," The Quarterly Review of Economics and Finance, Elsevier, vol. 55(C), pages 67-76.
    17. Stéphane Goutte & David Guerreiro & Bilel Sanhaji & Sophie Saglio & Julien Chevallier, 2019. "International Financial Markets," Post-Print halshs-02183053, HAL.
    18. Theodosios Perifanis, 2019. "Detecting West Texas Intermediate (WTI) Prices’ Bubble Periods," Energies, MDPI, vol. 12(14), pages 1-16, July.
    19. repec:zbw:bofism:2012_047 is not listed on IDEAS
    20. Peter C. B. Phillips & Yangru Wu & Jun Yu, 2011. "EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 52(1), pages 201-226, February.
    21. Sharma, Shahil & Escobari, Diego, 2018. "Identifying price bubble periods in the energy sector," Energy Economics, Elsevier, vol. 69(C), pages 418-429.

    More about this item

    Keywords

    Agribusiness; Agricultural Finance;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ags:agreko:347967. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: AgEcon Search (email available below). General contact details of provider: https://edirc.repec.org/data/aeasaea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.