Psychological price barriers, El Niño, La Niña: New insights for the case of coffee

IF 3.7 4区经济学 Q1 BUSINESS, FINANCE

Journal of Commodity Markets Pub Date : 2023-09-01 DOI:10.1016/j.jcomm.2023.100350

Mark J. Holmes , Jesús Otero

引用次数: 0

Abstract

This paper investigates the possibility of psychological barriers in the price dynamics of seven types of coffee varieties over a twenty-year period. When prices are expressed in hundreds of cents, barriers surrounding the round number prices ending in 00 are confirmed for the high quality coffees. The dynamics of coffee price returns differ before and after breaches of hypothesised barriers. Using a novel model selection method based on multiple testing, there is further confirmation of price barriers insofar as positive and negative climate anomalies affect coffee price proximity to barriers.

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心理价格壁垒、厄尔尼诺、拉尼娜现象：咖啡案例的新见解

本文调查了在20年的时间里，七种咖啡品种的价格动态中存在心理障碍的可能性。当价格以数百美分表示时，围绕以00结尾的整数价格的障碍就被确认为高质量咖啡。咖啡价格回报的动态在突破假设的壁垒之前和之后有所不同。使用一种基于多重测试的新模型选择方法，在积极和消极的气候异常影响咖啡价格接近壁垒的情况下，进一步证实了价格壁垒。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Commodity Markets Multiple-

CiteScore

5.70

自引率

2.40%

发文量

期刊介绍： The purpose of the journal is also to stimulate international dialog among academics, industry participants, traders, investors, and policymakers with mutual interests in commodity markets. The mandate for the journal is to present ongoing work within commodity economics and finance. Topics can be related to financialization of commodity markets; pricing, hedging, and risk analysis of commodity derivatives; risk premia in commodity markets; real option analysis for commodity project investment and production; portfolio allocation including commodities; forecasting in commodity markets; corporate finance for commodity-exposed corporations; econometric/statistical analysis of commodity markets; organization of commodity markets; regulation of commodity markets; local and global commodity trading; and commodity supply chains. Commodity markets in this context are energy markets (including renewables), metal markets, mineral markets, agricultural markets, livestock and fish markets, markets for weather derivatives, emission markets, shipping markets, water, and related markets. This interdisciplinary and trans-disciplinary journal will cover all commodity markets and is thus relevant for a broad audience. Commodity markets are not only of academic interest but also highly relevant for many practitioners, including asset managers, industrial managers, investment bankers, risk managers, and also policymakers in governments, central banks, and supranational institutions.