@article{Vollmer:291497,
      recid = {291497},
      author = {Vollmer, Teresa and von Cramon-Taubadel, Stephan},
      title = {The influence of Brazilian exports on price transmission  processes in the coffee sector: a Markov-switching  approach},
      address = {2019-07-05},
      number = {857-2019-2661},
      pages = {40},
      month = {Jul},
      year = {2019},
      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. },
      url = {http://ageconsearch.umn.edu/record/291497},
      doi = {https://doi.org/10.22004/ag.econ.291497},
}