TY - JOUR
T1 - Fundamentals, Speculation or Macroeconomic Conditions? Modelling and Forecasting Arabica Coffee Prices
AU - Crespo Cuaresma, Jesus
AU - Hlouskova, Jaroslava
AU - Obersteiner, Michael
PY - 2018
Y1 - 2018
N2 - 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.
AB - 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.
U2 - 10.1093/erae/jby010
DO - 10.1093/erae/jby010
M3 - Journal article
SN - 0165-1587
VL - 45
SP - 583
EP - 615
JO - European Review of Agricultural Economics
JF - European Review of Agricultural Economics
ER -