A1535
Title: Quality, location, and coffee price returns: A high-dimensional CoVaR-copula network analysis
Authors: Luis Fernando Melo Velandia - Banco de la Republica and Los Andes University (Colombia) [presenting]
Mahicol Stiben Ramirez-Gonzalez - Universidad Nacional (Colombia)
Abstract: Daily coffee price returns are explored over a two-decade period across different varieties in the U.S., France, and Germany markets. The analysis examines how the quality of coffee beans and their trading locations impact network connections using a high-dimensional CoVaR-Copula network. The findings reveal that quality significantly influences market connectivity, particularly with premium beans strengthening links between the U.S. and German markets. Colombian coffees consistently cluster as high-quality. Conversely, in France, spatial trading dynamics take precedence over quality considerations, with low-quality beans primarily affecting domestic market risk.
