On the co-movement between coffee and cocoa prices in international markets

摘要

In this article, we study the movement between cocoa and coffee prices, two close substitute commodities. Using the ARDL approach developed by Pesaran et al. (2001), we found that the two prices are cointegrated. The long-run elasticity of coffee price with respect to the cocoa one is estimated at 0.88. Also, using the lag-augmented VAR approach of Toda and Yamamoto (1995), which is valid whatever the order of integration of the data, the cocoa price is found to granger cause the coffee price and not vice versa. This finding suggests that models aiming at forecasting coffee prices should incorporate cocoa prices as well.