Market institutions and price relationships: The case of coffee in the Ethiopian Commodity Exchange
While the Ethiopian Commodity Exchange (ECX) is widely considered a successful market institution, very little rigorous empirical investigation has been done on it. This paper contributes to filling this knowledge gap. Using a unique set of spatially disaggregated prices for five different coffee va...
| Main Authors: | , , , |
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| Format: | Journal Article |
| Language: | Inglés |
| Published: |
Wiley
2017
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| Subjects: | |
| Online Access: | https://hdl.handle.net/10568/147994 |
| _version_ | 1855529378858926080 |
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| author | Hernandez, Manuel A. Rashid, Shahidur Lemma, Solomon Kuma, Tadesse |
| author_browse | Hernandez, Manuel A. Kuma, Tadesse Lemma, Solomon Rashid, Shahidur |
| author_facet | Hernandez, Manuel A. Rashid, Shahidur Lemma, Solomon Kuma, Tadesse |
| author_sort | Hernandez, Manuel A. |
| collection | Repository of Agricultural Research Outputs (CGSpace) |
| description | While the Ethiopian Commodity Exchange (ECX) is widely considered a successful market institution, very little rigorous empirical investigation has been done on it. This paper contributes to filling this knowledge gap. Using a unique set of spatially disaggregated prices for five different coffee varieties, we examine how the ECX has influenced the dynamics of international and domestic prices for coffee, the largest traded commodity in terms of trade value on the exchange floor. We follow a multivariate Generalized Autoregressive Conditional Heteroscedasticity (GARCH) approach to assess the extent of market interdependence (conditional correlations) and volatility transmission. We also evaluate structural changes in price dynamics over time. Our results suggest that, contrary to popular media stories, the ECX's success in strengthening coffee price relationships has been limited. We discuss the underlying reasons and implications of this finding. |
| format | Journal Article |
| id | CGSpace147994 |
| institution | CGIAR Consortium |
| language | Inglés |
| publishDate | 2017 |
| publishDateRange | 2017 |
| publishDateSort | 2017 |
| publisher | Wiley |
| publisherStr | Wiley |
| record_format | dspace |
| spelling | CGSpace1479942025-03-03T19:43:41Z Market institutions and price relationships: The case of coffee in the Ethiopian Commodity Exchange Hernandez, Manuel A. Rashid, Shahidur Lemma, Solomon Kuma, Tadesse volatility markets trade coffee commodity markets While the Ethiopian Commodity Exchange (ECX) is widely considered a successful market institution, very little rigorous empirical investigation has been done on it. This paper contributes to filling this knowledge gap. Using a unique set of spatially disaggregated prices for five different coffee varieties, we examine how the ECX has influenced the dynamics of international and domestic prices for coffee, the largest traded commodity in terms of trade value on the exchange floor. We follow a multivariate Generalized Autoregressive Conditional Heteroscedasticity (GARCH) approach to assess the extent of market interdependence (conditional correlations) and volatility transmission. We also evaluate structural changes in price dynamics over time. Our results suggest that, contrary to popular media stories, the ECX's success in strengthening coffee price relationships has been limited. We discuss the underlying reasons and implications of this finding. 2017 2024-06-21T09:23:38Z 2024-06-21T09:23:38Z Journal Article https://hdl.handle.net/10568/147994 en https://hdl.handle.net/10568/149640 Wiley Hernandez, Manuel A.; Rashid, Shahidur; Lemma, Solomon; and Kuma, Tadesse. 2017. Market institutions and price relationships: The case of coffee in the Ethiopian Commodity Exchange. American Journal of Agricultural Economics 99(3): 683-704. https://doi.org/10.1093/ajae/aaw101 |
| spellingShingle | volatility markets trade coffee commodity markets Hernandez, Manuel A. Rashid, Shahidur Lemma, Solomon Kuma, Tadesse Market institutions and price relationships: The case of coffee in the Ethiopian Commodity Exchange |
| title | Market institutions and price relationships: The case of coffee in the Ethiopian Commodity Exchange |
| title_full | Market institutions and price relationships: The case of coffee in the Ethiopian Commodity Exchange |
| title_fullStr | Market institutions and price relationships: The case of coffee in the Ethiopian Commodity Exchange |
| title_full_unstemmed | Market institutions and price relationships: The case of coffee in the Ethiopian Commodity Exchange |
| title_short | Market institutions and price relationships: The case of coffee in the Ethiopian Commodity Exchange |
| title_sort | market institutions and price relationships the case of coffee in the ethiopian commodity exchange |
| topic | volatility markets trade coffee commodity markets |
| url | https://hdl.handle.net/10568/147994 |
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