000291497 001__ 291497
000291497 005__ 20210122082336.0
000291497 0247_ $$2doi$$a10.22004/ag.econ.291497
000291497 037__ $$a857-2019-2661
000291497 041__ $$aeng
000291497 245__ $$aThe influence of Brazilian exports on price transmission processes in the coffee sector: a Markov-switching approach
000291497 260__ $$c2019-07-05
000291497 269__ $$a2019-07-05
000291497 300__ $$a40
000291497 336__ $$aWorking or Discussion Paper
000291497 520__ $$aMost 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. 
000291497 546__ $$aEnglish
000291497 650__ $$aDemand and Price Analysis
000291497 650__ $$aInternational Relations/Trade
000291497 6531_ $$aPrice transmission
000291497 6531_ $$aMarkov-switching models
000291497 6531_ $$acoffee
000291497 6531_ $$acustoms data
000291497 6531_ $$aspot and futures markets
000291497 700__ $$aVollmer, Teresa
000291497 700__ $$avon Cramon-Taubadel, Stephan
000291497 8560_ $$ftvollme@gwdg.de
000291497 8564_ $$9493796c6-c669-41f5-8f2f-d13f56565c55$$s1041614$$uhttps://ageconsearch.umn.edu/record/291497/files/DARE_1904.pdf
000291497 909CO $$ooai:ageconsearch.umn.edu:291497$$pGLOBAL_SET
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000291497 980__ $$a857