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A short run econometric analysis of the international coffee market

Author

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  • Palm, F.C.

    (Vrije Universiteit Amsterdam, Faculteit der Economische Wetenschappen en Econometrie (Free University Amsterdam, Faculty of Economics Sciences, Business Administration and Economitrics)

  • Vogelvang, E.

Abstract

The authors develop a short-run econometric model for the world coffee market and give empirical evidence on the behavioral equations of the model for the major coffee importing and exporting countries. The behavioral relationships for producers, inventory holders, speculators, and consumers are derived from optimizing considerations in an uncertain environment. Spot and futures prices adjust to clear the spot and futures markets at each period. International trade flows of coffee are determined by the optimizing behavior of the agents (countries) in the model. The empirical evidence confirms the authors' hypothesis of a highly structured model which is consistent with profit maximizing behavior under uncertainty. Copyright 1986 by Oxford University Press.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Palm, F.C. & Vogelvang, E., 1986. "A short run econometric analysis of the international coffee market," Serie Research Memoranda 0013, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  • Handle: RePEc:vua:wpaper:1986-13
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    File URL: http://degree.ubvu.vu.nl/repec/vua/wpaper/pdf/19860013.pdf
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    References listed on IDEAS

    as
    1. Turnovsky, Stephen J, 1983. "The Determination of Spot and Futures Prices with Storable Commodities," Econometrica, Econometric Society, vol. 51(5), pages 1363-1387, September.
    2. Danthine, Jean-Pierre, 1978. "Information, futures prices, and stabilizing speculation," Journal of Economic Theory, Elsevier, vol. 17(1), pages 79-98, February.
    3. R. Edwards & A. Parikh, 1976. "A Stochastic Policy Simulation of the World Coffee Economy," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 58(2), pages 152-160.
    4. Kawai, Masahiro, 1983. "Price Volatility of Storable Commodities under Rational Expectations in Spot and Futures Markets," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 24(2), pages 435-459, June.
    5. Bray, Margaret M, 1981. "Futures Trading, Rational Expectations, and the Efficient Markets Hypothesis," Econometrica, Econometric Society, vol. 49(3), pages 575-596, May.
    6. Alan H. Gelb, 1977. "Optimal Control and Stabilization Policy: An Application to the Coffee Economy," Review of Economic Studies, Oxford University Press, vol. 44(1), pages 95-109.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. John M. Fry & Baoying Lai, 2011. "The interdependence of Coffee spot and futures markets," Working Papers 2011.1, International Network for Economic Research - INFER.
    2. Larry S. Karp & Jeffrey M. Perloff, 1993. "A Dynamic Model of Oligopoly in the Coffee Export Market," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 75(2), pages 448-457.
    3. Karp, Larry & Perloff, Jeffrey M, 1988. "Dynamic Oligopoly: Estimation and Tests of Market Structure," Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series qt7fk1119n, Department of Agricultural & Resource Economics, UC Berkeley.
    4. Vogelvang, E., 1990. "Hypotheses testing concerning relationship between spot prices of various types of coffee," Serie Research Memoranda 0012, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    5. Ronning, Gerd, 1989. "An econometric analysis of West-German coffee imports," Discussion Papers, Series II 92, University of Konstanz, Collaborative Research Centre (SFB) 178 "Internationalization of the Economy".

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