Market Integration and Price Transmission of Robusta Coffee in North Sumatra Province with the World Market
DOI:
https://doi.org/10.37637/ab.v9i2.2849Kata Kunci:
asymmetric adjustment, error correction, farm-export chain, futures benchmark, shock decompositionAbstrak
Previous coffee-market studies have linked domestic and international prices, but they have rarely examined long-run integration, short-run asymmetry, shock decomposition, predictive causality, and threshold adjustment in one empirical sequence for the North Sumatran robusta supply chain. This study addresses that gap by analysing farm-level or production-area prices (PFC), North Sumatra exporter-level prices (PEC), and world prices represented by London Robusta Futures (PWC) using 120 monthly observations from January 2016 to December 2025. The analysis applied unit-root testing, Johansen cointegration, VECM, FEVD, Granger causality, AECM, Wald tests, and Hansen-Seo threshold testing. All series were I(1), and the Johansen test identified two cointegrating equations, confirming long-run integration among farm, exporter, and world prices. VECM adjustment was significant for PFC (ECT = -0.426806; t = -5.07885) and PEC (ECT = -0.298370; t = -4.44265), while PWC behaved as the reference market. At the 10-month horizon, PWC shocks explained 51.15% of PFC variation and 40.50% of PEC variation, while PWC remained dominated by its own shocks (84.22%). Supporting four-market IRF evidence showed that the largest own-price responses occurred in the first period, were followed by sign reversals, and in several equations remained visible at period 10, indicating gradual rather than instantaneous stabilization. Granger causality was bidirectional between PFC and PEC and unidirectional from PWC to PEC. Short-run asymmetry was found mainly in the PFC-PEC relationship, whereas long-run asymmetry and threshold cointegration were not supported. These findings contribute to agricultural market-integration literature by showing that benchmark prices transmit risk to domestic actors through linear long-run adjustment and temporary short-run frictions. Policy should strengthen transparent price information, quality-based pricing, and farmer bargaining institutions.
Referensi
Arnade, C., Cooke, B., & Gale, F. (2017). Agricultural price transmission: China's relationships with world commodity markets. Journal of Commodity Markets, 7, 28–40. https://doi.org/10.1016/j.jcomm.2017.07.001
Balke, N. S., & Fomby, T. B. (1997). Threshold Cointegration. International Economic Review, 38(3), 627–645. https://doi.org/10.2307/2527284
Bekkers, E., Brockmeier, M., Francois, J., & Yang, F. A. N. (2017). Local Food Prices and International Price Transmission. World Development, 96, 216–230. https://doi.org/10.1016/j.worlddev.2017.03.008
Bohl, M. T., Gross, C., & Souza, W. (2019). The role of emerging economies in the global price formation process of commodities: Evidence from Brazilian and U.S. coffee markets. International Review of Economics & Finance, 60, 203–215. https://doi.org/10.1016/j.iref.2018.11.002
Cramon-Taubadel, S. Von, & Goodwin, B. K. (2021). Price Transmission in Agricultural Markets. 65–84.
Emediegwu, L. E., & Rogna, M. (2024a). Agricultural commodities’ price transmission from international to local markets in developing countries. Food Policy, 126, 102652. https://doi.org/10.1016/j.foodpol.2024.102652
Emediegwu, L. E., & Rogna, M. (2024b). Agricultural commodities’ price transmission from international to local markets in developing countries. Food Policy, 126(July 2022), 102652. https://doi.org/10.1016/j.foodpol.2024.102652
Enders, W., & Siklos, P. L. (2001). Cointegration and Threshold Adjustment. Journal of Business & Economic Statistics, 19(2), 166–176. https://doi.org/10.1198/073500101316970395
Engle, R. F., & Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica, 55(2), 251–276. https://doi.org/10.2307/1913236
Exchange, I. (2026). Robusta coffee futures. https://www.ice.com/products/37089079/Robusta-Coffee-Futures
Frey, G., & Manera, M. (2007). Econometric models of asymmetric price transmission. Journal of Economic Surveys, 21(2), 349–415. https://doi.org/10.1111/j.1467-6419.2007.00507.x
Ghoshray, A., & Mohan, S. (2021). Coffee price dynamics: an analysis of the retail-international price margin. European Review of Agricultural Economics, 48(4), 983–1006. https://doi.org/10.1093/erae/jbab027
Goodwin, B. K., & Piggott, N. E. (2001). Spatial Market Integration in the Presence of Threshold Effects. American Journal of Agricultural Economics, 83(2), 302–317. https://doi.org/10.1111/0002-9092.00157
Granger, C. W. J., & Lee, T. H. (1989). Investigation of production, sales and inventory relationships using multicointegration and non-symmetric error correction models. Journal of Applied Econometrics, 4(S1), S145–S159. https://doi.org/10.1002/jae.3950040508
Hansen, B. E., & Seo, B. (2002). Testing for two-regime threshold cointegration in vector error-correction models. Journal of Econometrics, 110(2), 293–318. https://doi.org/10.1016/S0304-4076(02)00097-0
Huffaker, R., Griffith, G., Dambui, C., & Canavari, M. (2021). Empirical Detection and Quantification of Price Transmission in Endogenously Unstable Markets : The Case of the Global – Domestic Coffee Supply Chain in Papua New Guinea.
Hundie, S. K., & Biratu, B. (2022). Cogent Economics & Finance Response of Ethiopian coffee price to the world coffee price : Evidence from dynamic ARDL simulations and nonlinear ARDL cointegration. Cogent Economics & Finance, 10(1). https://doi.org/10.1080/23322039.2022.2114168
Johansen, S., & Juselius, K. (1990). Maximum likelihood estimation and inference on cointegration—with applications to the demand for money. Oxford Bulletin of Economics and Statistics, 52(2), 169–210. https://doi.org/10.1111/j.1468-0084.1990.mp52002003.x
Kamaruddin, Masbar, R., Syahnur, S., Majid, M. S. A., & Shafiullah, M. (2021). Asymmetric price transmission of Indonesian coffee. Cogent Economics & Finance, 9(1), 1971354. https://doi.org/10.1080/23322039.2021.1971354
Khumaira, K., Hakim, D. B., & Sahara, S. (2016). Transmisi harga kopi antara pasar Indonesia dan pasar tujuan ekspor utama. Jurnal Manajemen & Agribisnis, 13(2), 98–108. https://doi.org/10.17358/jma.13.2.98
Kinnucan, H. W. (2022). A note on the correspondence between horizontal and vertical price transmission. Journal of Agricultural Economics, 73(3), 654–665. https://doi.org/10.1111/1477-9552.12483
Lan, H., Lloyd, T. A., McCorriston, S., & Morgan, C. W. (2022). Retailer heterogeneity and price transmission. American Journal of Agricultural Economics, 104(5), 1679–1700. https://doi.org/10.1111/ajae.12286
Mai, T. C., Shakur, S., & Cassells, S. (2018). Testing vertical price transmission for Vietnam’s Robusta coffee. Australian Journal of Agricultural and Resource Economics, 62(4), 563–575. https://doi.org/10.1111/1467-8489.12260
Meyer, J., & Cramon-taubadel, S. von. (2004). Asymmetric Price Transmission : A Survey. 55(3), 581–611.
Meyer, J., & von Cramon-Taubadel, S. (2004). Asymmetric Price Transmission: A Survey. Journal of Agricultural Economics, 55(3), 581–611. https://doi.org/10.1111/j.1477-9552.2004.tb00116.x
Ravallion, M. (1986). Testing Market Integration. American Journal of Agricultural Economics, 68(1), 102–109. https://doi.org/10.2307/1241654
Vicol, M., Neilson, J., Faila, D., Hartatri, S., & Cooper, P. (2018). Upgrading for whom ? Relationship between coffee, value chain interventions, and rural development in Indonesia. World Development, 110, 26–37. https://doi.org/10.1016/j.worlddev.2018.05.020
von Cramon-Taubadel, S. (1998). Estimating asymmetric price transmission with the error correction representation: An application to the German pork market. European Review of Agricultural Economics, 25(1), 1–18. https://doi.org/10.1093/erae/25.1.1
Unduhan
Diterbitkan
Cara Mengutip
Terbitan
Bagian
Citation Check
Lisensi
Copyrights and Licenses
Please find the rights and licenses in Agro Bali: Agricultural Journal.
Agro Bali : Agricultural Journal provides immediate open access to its content on the principle that making research freely available to the public to supports a greater global exchange of knowledge.
By submitting the paper/manuscript, the author(s) agree with this policy. No specific document sign-off is required.
A. Right
- Submission of a manuscript implies that the submitted work has not been published before (except as part of a thesis or report, or abstract); that it is not under consideration for publication elsewhere; that its publication has been approved by all co-authors.
- The author(s) grant Agro Bali : Agricultural Journal the rights to the first publication of the works.
- The author(s) still hold the copyright of his/her/their work and retain publishing rights without restrictions such as (but not limited to) patent right, lecture, book and reproduce the article for own purposes.
B. License
- If and when the manuscript is accepted for publication in Agro Bali : Agricultural Journal, the author(s) grant the right of first publication to this journal with the work simultaneously licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.
- Agro Bali : Agricultural Journal's spirit is to disseminate articles published are as free as possible. Under the CC BY SA 4.0 International License, Agro Bali : Agricultural Journal permits users to copy, distribute, display, and perform the works.
- Unless otherwise stated, the authors are public entities as soon as their articles got published.
This work is licensed under Creative Commons Attribution-ShareAlike 4.0 International License.
