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El Niño, La Niña, and a cup of Joe

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  • Sephton, Peter S.

Abstract

El Niño and La Niña events have been shown to influence the prices of several varieties of coffee. This paper demonstrates that the coffee prices are threshold cointegrated around a non-linear attractor and that El Niño Southern Oscillation (ENSO) events play an important role in the process.

Suggested Citation

  • Sephton, Peter S., 2019. "El Niño, La Niña, and a cup of Joe," Energy Economics, Elsevier, vol. 84(C).
    • Handle: RePEc:eee:eneeco:v:84:y:2019:i:c:s0140988319302841
    DOI: 10.1016/j.eneco.2019.104503
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    Cited by:

    1. Sephton, Peter, 2023. "Threshold cointegration and asymmetries between dividends and earnings news," Finance Research Letters, Elsevier, vol. 58(PB).
    2. Kouadio, Louis & Tixier, Philippe & Byrareddy, Vivekananda & Marcussen, Torben & Mushtaq, Shahbaz & Rapidel, Bruno & Stone, Roger, 2021. "Performance of a process-based model for predicting robusta coffee yield at the regional scale in Vietnam," Ecological Modelling, Elsevier, vol. 443(C).
    3. Holmes, Mark J. & Otero, Jesús, 2023. "Psychological price barriers, El Niño, La Niña: New insights for the case of coffee," Journal of Commodity Markets, Elsevier, vol. 31(C).
    4. Luis Fernando Melo‐Velandia & Camilo Andrés Orozco‐Vanegas & Daniel Parra‐Amado, 2022. "Extreme weather events and high Colombian food prices: A non‐stationary extreme value approach," Agricultural Economics, International Association of Agricultural Economists, vol. 53(S1), pages 21-40, November.
    5. Sephton, Peter S., 2022. "Revisiting the inflation-hedging properties of precious metals in Africa," Resources Policy, Elsevier, vol. 77(C).
    6. Peter S. Sephton, 2024. "Finite Sample Lag Adjusted Critical Values and Probability Values for the Fourier Wavelet Unit Root Test," Computational Economics, Springer;Society for Computational Economics, vol. 64(2), pages 693-705, August.
    7. Zhang, Jiahao & Zhang, Yifeng & Wei, Yu & Wang, Zhuo, 2024. "Normal and extreme impact and connectedness between fossil energy futures markets and uncertainties: Does El Niño-Southern Oscillation matter?," International Review of Economics & Finance, Elsevier, vol. 89(PB), pages 188-215.

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    More about this item

    Keywords

    El Niño Southern Oscillation; Coffee prices; Threshold cointegration; Multivariate adaptive regression splines;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • Q11 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Aggregate Supply and Demand Analysis; Prices
    • Q54 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Climate; Natural Disasters and their Management; Global Warming

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