A copy of this work was available on the public web and has been preserved in the Wayback Machine. The capture dates from 2020; you can also visit the original URL.
The file type is
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 pricedoi:10.1080/00036846.2016.1148254 fatcat:tcfuliu7mjecfi3gxwgin6nzhm