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On Price Dynamics for Different Qualities of Coffee

Author

Listed:
  • Atanu Ghoshray

    (Atanu Ghoshray is a Lecturer in Economics at the Department of Economics & International Development, University of Bath, Claverton Down,UK. E-mail: A.Ghoshray@bath.ac.uk)

Abstract
This paper conducts an examination of the price relationships of different qualities of coffee and how prices adjust over time in relation to each other. The main result shows that using threshold models, the coffee market may be considered to be highly integrated, contrary to the results obtained using standard cointegration methods. Further, the results indicate that either prices adjust to any deviation only when they are increasing or decreasing, or that a rise in the price of a high quality coffee might lead to a slower rise in the price of a relatively lower quality coffee, while a decline in higher quality coffee prices might trigger a relatively rapid fall in lower quality coffee. The paper concludes by providing an explanation to this asymmetric price adjusting behaviour.

Suggested Citation

  • Atanu Ghoshray, 2009. "On Price Dynamics for Different Qualities of Coffee," Review of Market Integration, India Development Foundation, vol. 1(1), pages 103-118, April.
    • Handle: RePEc:sae:revmar:v:1:y:2009:i:1:p:103-118
    DOI: 10.1177/097492920900100106
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    References listed on IDEAS

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    Cited by:

    1. Andrea Bastianin & Alessandro Lanza & Matteo Manera, 2018. "Economic impacts of El Niño southern oscillation: evidence from the Colombian coffee market," Agricultural Economics, International Association of Agricultural Economists, vol. 49(5), pages 623-633, September.
    2. Otero, Jesús & Argüello, Ricardo & Oviedo, Juan Daniel & Ramírez, Manuel, 2018. "Explaining coffee price differentials in terms of chemical markers: Evidence from a pairwise approach," Economic Modelling, Elsevier, vol. 72(C), pages 190-201.
    3. Stavrakoudis, Athanassios & Panagiotou, Dimitrios, 2016. "Price dependence between coffee qualities: a copula model to evaluate asymmetric responses," MPRA Paper 75994, University Library of Munich, Germany.
    4. John M. Fry & Baoying Lai & Mark Rhodes, 2011. "The interdependence of Coffee spot and futures market," Working Papers 2011.1, International Network for Economic Research - INFER.
    5. Stavrakoudis, Athanassios & Panagiotou, Dimitrios, 2016. "Price dependence and asymmetric responses between coffee varieties," Agricultural Economics Review, Greek Association of Agricultural Economists, vol. 17(2), June.

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    More about this item

    Keywords

    Coffee prices; cointegration; TAR; M-TAR; consistent threshold; asymmetric price adjustment; JEL Classification: F15; JEL Classification: Q13;
    All these keywords.

    JEL classification:

    • F15 - International Economics - - Trade - - - Economic Integration
    • Q13 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agricultural Markets and Marketing; Cooperatives; Agribusiness

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