Fundamentals, Speculation or Macroeconomic Conditions? Modelling and Forecasting Arabica Coffee Prices

Jesus Crespo Cuaresma, Jaroslava Hlouskova, Michael Obersteiner

Publication: Scientific journalJournal articlepeer-review

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.
Original languageEnglish
Pages (from-to)583 - 615
JournalEuropean Review of Agricultural Economics
Volume45
DOIs
Publication statusPublished - 2018

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