Fundamentals, speculation or macroeconomic conditions? Modelling and forecasting Arabica coffee prices

Crespo-Cuaresma, Jesús, Hlouskova, Jaroslava and Obersteiner, Michael (2018) Fundamentals, speculation or macroeconomic conditions? Modelling and forecasting Arabica coffee prices. European Review of Agricultural Economics, 45 (4), pp. 583-615.

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Abstract or Table of Contents

We analyse the role played by market fundamentals, speculation and macroeconomic conditions as empirical determinants of price changes in Arabica coffee. We combine model averaging techniques to explain historical patterns with an in-depth analysis of out-of-sample predictability of Arabica coffee prices using fundamentals as well as macroeconomic and financial variables. Our results indicate that variables related to global macroeconomic and financial developments contain valuable information to explain the historical pattern of coffee price developments, as well as to improve out-of-sample predictions.

Item Type: Article in Academic Journal
Keywords: Forecasting and Prediction Methods; Simulation Methods; Commodity Markets
Classification Codes (e.g. JEL): C53, Q02
Research Units: Macroeconomics and Economic Policy
Status: Published
Date Deposited: 12 Sep 2018 11:43
Last Modified: 12 Sep 2018 11:46
Identification Number or DOI: 10.1093/erae/jby010
ISSN: 0165-1587
URI: https://irihs.ihs.ac.at/id/eprint/4738

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