The extent of the world coffee market

Reference:

Ghoshray, A., 2010. The extent of the world coffee market. Bulletin Of Economic Research, 62 (1), pp. 97-107.

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Official URL:

http://dx.doi.org/10.1111/j.1467-8586.2009.00318.x

Abstract

This paper employs a novel method to determine whether the prices of various types of coffee are co-integrated. In the spirit of Stigler's arbitrage definition of the market, an attempt is made to test whether all the prices co-integrate in pairs, implying that there is a single market for coffee. This test for co-integration is carried out using both linear and non-linear approaches. This finding demonstrates that the conclusions drawn from the linear and non-linear tests may be drastically different.

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