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

Crespo Cuaresma, J., Hlouskova, J., & Obersteiner, M. ORCID: https://orcid.org/0000-0001-6981-2769 (2018). Fundamentals, speculation or macroeconomic conditions? Modelling and forecasting Arabica coffee prices. European Review of Agricultural Economics 45 (4) 583-615. 10.1093/erae/jby010.

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Abstract

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
Uncontrolled Keywords:	commodity prices, coffee, forecasting, forecast combination, vector autoregressive models, model uncertainty, model averaging
Research Programs:	Ecosystems Services and Management (ESM) World Population (POP)
Depositing User:	Michaela Rossini
Date Deposited:	19 Sep 2018 10:49
Last Modified:	27 Aug 2021 17:30
URI:	https://pure.iiasa.ac.at/15469

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