Joint price dynamics of quality differentiated commodities: copula evidence from coffee varieties
使用1990-2015年月度现货价格和非参数Copula方法，研究了不同质量咖啡豆之间的价格联动强度和模式，发现阿拉比卡豆之间价格关系更强，且价格冲击的传导存在对称性和不对称性。
The objective of this article is to investigate the intensity and the mode of price linkages for quality differentiated coffee beans. This is pursued using monthly spot prices from 1990 to 2015 and nonparametric copulas. The empirical findings suggest that: (i) The price interrelationships are stronger among the Arabica beans than between the individual Arabica and the Robusta beans; also, price co-movement is higher (lower) where the quality difference is smaller (larger). (ii) There is symmetric price co-movement under positive and negative price shocks; that means, shocks of the same absolute magnitude but of different sign are transmitted from one coffee market to another with the same intensity. The transmission of shocks, however, of the same sign but of different magnitude is asymmetric; in particular, larger (in absolute value) price shocks are transmitted with higher intensity compared with smaller ones.