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

Author

Listed:
  • Panos Fousekis
  • Vasilis Grigoriadis

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.

Suggested Citation

  • Panos Fousekis & Vasilis Grigoriadis, 2017. "Joint price dynamics of quality differentiated commodities: copula evidence from coffee varieties," European Review of Agricultural Economics, Oxford University Press and the European Agricultural and Applied Economics Publications Foundation, vol. 44(2), pages 337-358.
    • Handle: RePEc:oup:erevae:v:44:y:2017:i:2:p:337-358.
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    File URL: http://hdl.handle.net/10.1093/erae/jbw015
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    Citations

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    Cited by:

    1. Sephton, Peter S., 2019. "El Niño, La Niña, and a cup of Joe," Energy Economics, Elsevier, vol. 84(C).
    2. Huidan Xue & Chenguang Li & Liming Wang, 2021. "Spatial Price Dynamics and Asymmetric Price Transmission in Skim Milk Powder International Trade: Evidence from Export Prices for New Zealand and Ireland," Agriculture, MDPI, vol. 11(9), pages 1-20, September.
    3. Bousebata, Meryem & Enjolras, Geoffroy & Girard, Stéphane, 2020. "The dependence structure between yields and prices: A copula-based model of French farm income," 2020 Annual Meeting, July 26-28, Kansas City, Missouri 304313, Agricultural and Applied Economics Association.
    4. Fousekis, Panos & Grigoriadis, Vasilis, 2022. "Conditional tail price risk spillovers in coffee markets across quality, physical space, and time: Empirical analysis with penalized quantile regressions," Economic Modelling, Elsevier, vol. 106(C).
    5. 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).
    6. Ahmed, Osama, 2021. "Assessing the current situation of the world wheat market leadership: Using the semi-parametric approach," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 9(2).
    7. Fousekis, Panos, 2024. "Price Links Among Qualitatively Differentiated Meats: Evidence from The UK Wholesale Beef Market," International Journal of Food and Agricultural Economics (IJFAEC), Alanya Alaaddin Keykubat University, Department of Economics and Finance, vol. 12(3), July.
    8. Carlson, Mari K. & Rezitis, Anthony N., 2018. "Integration of the EU broiler meat markets – Application of Regular Vine Copulas," 2018 Annual Meeting, August 5-7, Washington, D.C. 273864, Agricultural and Applied Economics Association.

    More about this item

    Keywords

    price linkages; coffee; copulas; asymmetry;
    All these keywords.

    JEL classification:

    • Q13 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agricultural Markets and Marketing; Cooperatives; Agribusiness
    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General

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