Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/200261 
Year of Publication: 
2019
Series/Report no.: 
Diskussionsbeitrag No. 1904
Publisher: 
Georg-August-Universität Göttingen, Department für Agrarökonomie und Rurale Entwicklung (DARE), Göttingen
Abstract: 
Most analysis of agricultural commodity market integration is solely based on price information. However, adding trade data can improve the understanding of interactions between interrelated markets. We link the analysis of price transmission processes between spot and futures markets with trade information to study the influence of Brazilian coffee exports on global price interdependencies. Using a Markov-switching vector error correction model (MSVECM) we allow for structural changes over time. Our results reveal two regimes. One regime is characterized by periods of sideways or downward trending coffee prices with low price volatility, and the other one by phases of price spikes and high price volatility. Price information is transmitted through both the spot and the futures prices and the speed of the price transmission process is significantly affected by the total daily volume and value of Brazilian coffee exports.
Subjects: 
price transmission
Markov-switching models
coffee
customs data
spot and futures markets
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.