Joint price dynamics of quality differentiated commodities: copula evidence from coffee varieties

摘要: The objective of this article is to investigate the intensity and mode price linkages for quality differentiated coffee beans. This pursued using monthly spot prices from 1990 2015 nonparametric copulas. empirical findings suggest that: (i) interrelationships are stronger among Arabica beans than between individual Robusta beans; also, co-movement higher (lower) where difference smaller (larger). (ii) There symmetric under positive negative shocks; that means, shocks same absolute magnitude but different sign transmitted one market another with intensity. transmission shocks, however, asymmetric; in particular, larger (in value) compared ones.