Hypotheses testing concerning relationships between spot prices of various types of coffee

Abstract

In this paper hypotheses are tested concerning long-run relationships between the four indicator prices of coffee. These relationships are assumed to exist based on a previous study of the coffee market by the same author. The four coffee prices are investigated in more detail in this paper. After a brief introduction to the price formation on the coffee market the univariate properties of the coffee prices are checked first. Then the tests for co-integration, as developed by Johansen (1988) and Johansen and Juselius (1989) are performed. These tests appear to be very informative with respect to the way the prices may be linked in the long run, concerning the number and the form of the relationships. Specifications of three equilibrium relationships among the coffee prices are detected and commented.

Economic impacts of El Niño southern oscillation: evidence from the Colombian coffee market

“…Other studies on the “ENSO‐commodity price inflation” nexus do not control for supply and demand shocks, although they are expected to be the main drivers of the real prices of coffee and of other commodities (Ubilava, , ). Moreover, most studies model and forecast the price of coffee with reduced form specifications that cannot identify the causes underlying coffee price shocks (see Ghoshray, ; Vogelvang, ). Our econometric model also relates to the strand of the literature dealing with the macroeconomic effects of coffee price shocks.…”

El Niño, La Niña, and world coffee price dynamics

“…The dynamics of coffee prices have long been studied as well. For example, Vogelvang (1992) has examined linear cointegration using quarterly coffee prices, while in a series of papers, Otero and Milas (2001), Milas and Otero (2002), and Milas et al (2004) have applied nonlinear modeling techniques to assess cointegration between quarterly time series of coffee prices. Finally, Ghoshray (2009) has employed monthly series to examine coffee price dynamics, finding evidence of asymmetries in pairwise cointegrated coffee spot prices.…”

Quality of Different Honduran Coffees in Relation to Several Environments

“…With more than 70 producing countries, competition on the coffee market is fierce, and the production of quality coffee procures a decisive competitive advantage (Vogelvang 1992). The emergence of the United States and the assertion of the European "gourmet" markets have resulted in segmentation of the coffee market: various types have been identified under the names "inferior," "ordinary," "fine," and "luxury" (Lodder 1999).…”