The main aim of this research was to detect the existence of the stochastic (and/or deterministic) components of Trend, Cycle and Seasonality in the spot market prices of the most important Brazilian agricultural commodity: coffee. The methodology used was the analysis in the time domain (to trend and seasonality) and the analysis in the frequency domain, also known as spectral analysis for the study of cycles in prices. The results found that the trend in coffee prices is compounded by a mix of deterministic and stochastic trends. With relation to the cycles in the prices, the spectral analysis to whole sample data (from January 1946 to December 2000) has confirmed the rate of a cycle of medium duration between the interval of 22 and 44 months. With relation to seasonality, the research found that this component of the price series has had a very unstable characteristic throughout the decades analyzed. It has a stochastic nature and varies in function of time.
Trend; Cycles; Seasonality; Coffee prices
