ABSTRACT This paper investigates price bubbles in the global coffee market using the generalised supremum augmented Dickey-Fuller test. This approach can recognise multiple bubbles and date their origination and termination. The empirical results show that three bubbles existed in the coffee market from January 1990 to September 2017, during which the coffee price deviated from its fundamental value. Mismatch between supply and demand, speculation, US dollar fluctuations and climate change are applied to explain these bubbles. Corresponding policies, such as the prevention of pests and disease, emergency assistance, market structure improvement and recognition of US dollar fluctuations, should be emphasised to relieve the negative impacts of excessive coffee price volatility.

中文翻译：

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全球咖啡市场是否存在周期性崩溃的泡沫行为？

摘要 本文使用广义 supremum 增强 Dickey-Fuller 检验来调查全球咖啡市场的价格泡沫。这种方法可以识别多个气泡并确定它们的起源和终止日期。实证结果表明，1990 年 1 月至 2017 年 9 月咖啡市场存在三个泡沫，期间咖啡价格偏离其基本价值。供需不匹配、投机、美元波动和气候变化被用来解释这些泡沫。应强调病虫害防治、紧急救助、市场结构改善、承认美元波动等相应政策，以缓解咖啡价格过度波动的负面影响。