Modelling the behaviour of the spot prices of various types of coffee

This paper investigates long-run relationships among the spot prices of four coffee types. We find two cointegrating vectors: one between the prices of Other Milds and Colombian coffee, and the other one between Unwashed Arabicas and Robustas. Following Pesaran and Shin (1996), persistence profile a...

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Tipo de recurso:
Fecha de publicación:
1998
Institución:
Universidad del Rosario
Repositorio:
Repositorio EdocUR - U. Rosario
Idioma:
eng
OAI Identifier:
oai:repository.urosario.edu.co:10336/28139
Acceso en línea:
https://doi.org/10.22004/ag.econ.269244
https://repository.urosario.edu.co/handle/10336/28139
Palabra clave:
Crop Production/industries
Demand and price analysis
Institutional and behavioral economics
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spelling 79242814600db39d1ac-2e22-4e10-bb65-5edbf01c6f1e2020-08-19T14:46:02Z2020-08-19T14:46:02Z1998-12-12This paper investigates long-run relationships among the spot prices of four coffee types. We find two cointegrating vectors: one between the prices of Other Milds and Colombian coffee, and the other one between Unwashed Arabicas and Robustas. Following Pesaran and Shin (1996), persistence profile analysis of the two cointegrating vectors shows a rapid adjustment towards their equilibrium value. This suggests that the four coffee markets are highly related, and that discrepancies in the equilibrium relationships are short-lived. Out of sample evaluation of the model is reasonably good, except for two occasions of sharp price increases following adverse weather conditions.application/pdfhttps://doi.org/10.22004/ag.econ.269244ISSN: 0264-9993EISSN: 1873-6122https://repository.urosario.edu.co/handle/10336/28139engUniversity of Warwick - Department of EconomicsEconomic ModellingEconomic Modelling, ISSN: 0264-9993;EISSN: 1873-6122, (Dec 12, 1998); 18 pp.https://ageconsearch.umn.edu/record/269244Abierto (Texto Completo)http://purl.org/coar/access_right/c_abf2Economic Modellinginstname:Universidad del Rosarioreponame:Repositorio Institucional EdocURCrop Production/industriesDemand and price analysisInstitutional and behavioral economicsModelling the behaviour of the spot prices of various types of coffeeModelización del comportamiento de los precios spot de varios tipos de caféarticleArtículohttp://purl.org/coar/version/c_970fb48d4fbd8a85http://purl.org/coar/resource_type/c_6501Otero Cardona, Jesús GilbertoMilas, CostasORIGINALdpaper.pdfapplication/pdf82719https://repository.urosario.edu.co/bitstreams/3a5d45f5-016c-4b3e-a37f-ecf3900cf2b9/download04340ca22c2d28eb9ddc4a7186d6fe3cMD51TEXTdpaper.pdf.txtdpaper.pdf.txtExtracted texttext/plain28794https://repository.urosario.edu.co/bitstreams/05c5af38-28f2-4529-be1c-f54bb58c7cfa/downloadfd5b6e5dc0a2764de2a04671331a3bb5MD52THUMBNAILdpaper.pdf.jpgdpaper.pdf.jpgGenerated Thumbnailimage/jpeg2961https://repository.urosario.edu.co/bitstreams/26b02796-7ff3-4f34-89ad-ea68ac7c8ea6/download2895b1217c3d67d68a719248096ca7c7MD5310336/28139oai:repository.urosario.edu.co:10336/281392021-09-16 06:23:27.608https://repository.urosario.edu.coRepositorio institucional EdocURedocur@urosario.edu.co
dc.title.spa.fl_str_mv Modelling the behaviour of the spot prices of various types of coffee
dc.title.TranslatedTitle.spa.fl_str_mv Modelización del comportamiento de los precios spot de varios tipos de café
title Modelling the behaviour of the spot prices of various types of coffee
spellingShingle Modelling the behaviour of the spot prices of various types of coffee
Crop Production/industries
Demand and price analysis
Institutional and behavioral economics
title_short Modelling the behaviour of the spot prices of various types of coffee
title_full Modelling the behaviour of the spot prices of various types of coffee
title_fullStr Modelling the behaviour of the spot prices of various types of coffee
title_full_unstemmed Modelling the behaviour of the spot prices of various types of coffee
title_sort Modelling the behaviour of the spot prices of various types of coffee
dc.subject.keyword.spa.fl_str_mv Crop Production/industries
Demand and price analysis
Institutional and behavioral economics
topic Crop Production/industries
Demand and price analysis
Institutional and behavioral economics
description This paper investigates long-run relationships among the spot prices of four coffee types. We find two cointegrating vectors: one between the prices of Other Milds and Colombian coffee, and the other one between Unwashed Arabicas and Robustas. Following Pesaran and Shin (1996), persistence profile analysis of the two cointegrating vectors shows a rapid adjustment towards their equilibrium value. This suggests that the four coffee markets are highly related, and that discrepancies in the equilibrium relationships are short-lived. Out of sample evaluation of the model is reasonably good, except for two occasions of sharp price increases following adverse weather conditions.
publishDate 1998
dc.date.created.spa.fl_str_mv 1998-12-12
dc.date.accessioned.none.fl_str_mv 2020-08-19T14:46:02Z
dc.date.available.none.fl_str_mv 2020-08-19T14:46:02Z
dc.type.eng.fl_str_mv article
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dc.type.spa.spa.fl_str_mv Artículo
dc.identifier.doi.none.fl_str_mv https://doi.org/10.22004/ag.econ.269244
dc.identifier.issn.none.fl_str_mv ISSN: 0264-9993
EISSN: 1873-6122
dc.identifier.uri.none.fl_str_mv https://repository.urosario.edu.co/handle/10336/28139
url https://doi.org/10.22004/ag.econ.269244
https://repository.urosario.edu.co/handle/10336/28139
identifier_str_mv ISSN: 0264-9993
EISSN: 1873-6122
dc.language.iso.spa.fl_str_mv eng
language eng
dc.relation.citationTitle.none.fl_str_mv Economic Modelling
dc.relation.ispartof.spa.fl_str_mv Economic Modelling, ISSN: 0264-9993;EISSN: 1873-6122, (Dec 12, 1998); 18 pp.
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dc.publisher.spa.fl_str_mv University of Warwick - Department of Economics
dc.source.spa.fl_str_mv Economic Modelling
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