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Market Reforms and Commodity Price Volatility: The Case of East African Coffee Market
Author(s) -
Lukanima Benedicto,
Swaray Raymond
Publication year - 2014
Publication title -
the world economy
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.594
H-Index - 68
eISSN - 1467-9701
pISSN - 0378-5920
DOI - 10.1111/twec.12124
Subject(s) - volatility (finance) , economics , commodity market , commodity , monetary economics , market price , financial economics , market economy , microeconomics , finance
The goal of this paper is to examine the impact of commodity market reforms on producer price volatility using evidence from the E ast A frican coffee market. The results, based on time‐varying volatility models and key summary statistics, show that coffee market reforms in the E ast A frican C ommunity ( EAC ) are associated with changes in producer price volatility and volatility persistence at both country and regional levels. However, reforms were not the only cause of changes in price volatility. The study further shows that reforms had different effects on prices volatilities of Arabica and Robusta varieties of coffee grown in individual EAC countries. These findings have wider implication for commodity market reforms and producer price stabilisation policies in the EAC and coffee producing countries in sub‐Sahara Africa.