TY  - RPRT
AB  - 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. 
AU  - Vollmer, Teresa
AU  - von Cramon-Taubadel, Stephan
DA  - 7/5/2019
DA  - 7/5/2019
DO  - 10.22004/ag.econ.291497
DO  - doi
ID  - 291497
KW  - Demand and Price Analysis
KW  - International Relations/Trade
KW  - Price transmission
KW  - Markov-switching models
KW  - coffee
KW  - customs data
KW  - spot and futures markets
L1  - https://ageconsearch.umn.edu/record/291497/files/DARE_1904.pdf
L2  - https://ageconsearch.umn.edu/record/291497/files/DARE_1904.pdf
L4  - https://ageconsearch.umn.edu/record/291497/files/DARE_1904.pdf
LA  - eng
LA  - English
LK  - https://ageconsearch.umn.edu/record/291497/files/DARE_1904.pdf
N2  - 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. 
PY  - 7/5/2019
PY  - 7/5/2019
T1  - The influence of Brazilian exports on price transmission processes in the coffee sector: a Markov-switching approach
TI  - The influence of Brazilian exports on price transmission processes in the coffee sector: a Markov-switching approach
UR  - https://ageconsearch.umn.edu/record/291497/files/DARE_1904.pdf
Y1  - 7/5/2019
ER  -