Modelling the spot prices of various coffee types

Jesús Otero, Costas Milas

Research output: Contribution to journalArticlepeer-review

9 Scopus citations

Abstract

We investigate long-run relationships among the spot prices of four coffee types. Two cointegrating vectors emerge: one between the prices of Arabica coffee varieties, and the other one between Unwashed Arabicas and Robusta. A persistence profile analysis shows a more rapid adjustment to equilibrium for the first compared to the second vector due to the fact that the former involves the Arabica coffees, which are more homogeneous. Adjustment is relatively fast, implying that economic forces act rapidly and discrepancies in the equilibrium relationships are short-lived. We also find evidence of non-linear adjustment back to equilibrium; when prices are too high, adjustment takes place at a slower rate than when they are too low.

Original languageEnglish (US)
Pages (from-to)625-641
Number of pages17
JournalEconomic Modelling
Volume18
Issue number4
DOIs
StatePublished - Dec 2001

All Science Journal Classification (ASJC) codes

  • Economics and Econometrics

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