IDEAS home Printed from https://ideas.repec.org/a/oup/erevae/v44y2017i2p337-358..html
   My bibliography  Save this article

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.
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1093/erae/jbw015
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. 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).
    2. 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).
    3. 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.
    4. Sephton, Peter S., 2019. "El Niño, La Niña, and a cup of Joe," Energy Economics, Elsevier, vol. 84(C).
    5. 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.
    6. 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.
    7. 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).

    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

    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:oup:erevae:v:44:y:2017:i:2:p:337-358.. 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.

    We have no bibliographic references for this item. You can help adding them by using 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: Oxford University Press (email available below). General contact details of provider: https://edirc.repec.org/data/eaaeeea.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.