El Niño, La Niña, and a cup of Joe

El Niño, La Niña, and a cup of Joe

El Niño and La Niña events have been shown to influence the prices of several varieties of coffee. This paper demonstrates that the coffee prices are threshold cointegrated around a non-linear attractor and that El Niño Southern Oscillation (ENSO) events play an important role in the process. •Since...

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Veröffentlicht in:Energy economics 2019-10, Vol.84, p.104503, Article 104503
1. Verfasser: Sephton, Peter S.
Format: Artikel
Sprache:eng
Schlagworte:
Coffee
Coffee prices
El Nino
El Nino ocean current
El Niño Southern Oscillation
Energy economics
La Nina
Multivariate adaptive regression splines
Ocean currents
Oscillation
Prices
Southern Oscillation
Threshold cointegration
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Zusammenfassung:El Niño and La Niña events have been shown to influence the prices of several varieties of coffee. This paper demonstrates that the coffee prices are threshold cointegrated around a non-linear attractor and that El Niño Southern Oscillation (ENSO) events play an important role in the process. •Since the International Coffee Agreement collapsed in 1989, coffee prices have been market determined•The prices of the four main varieties of coffee are non-linearly cointegrated•Threshold cointegration explains asymmetric price adjustment•El Nino and La Nina affect how coffee prices react to disturbances
ISSN:0140-9883
1873-6181
DOI:10.1016/j.eneco.2019.104503