{"title":"Psychological price barriers, El Niño, La Niña: New insights for the case of coffee","authors":"Mark J. Holmes , Jesús Otero","doi":"10.1016/j.jcomm.2023.100350","DOIUrl":null,"url":null,"abstract":"<div><p>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.</p></div>","PeriodicalId":45111,"journal":{"name":"Journal of Commodity Markets","volume":"31 ","pages":"Article 100350"},"PeriodicalIF":3.7000,"publicationDate":"2023-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Commodity Markets","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S2405851323000405","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
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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.
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.
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