Crespo Cuaresma, Jesus, Hlouskova, Jaroslava, Obersteiner, Michael. 2018. Fundamentals, Speculation or Macroeconomic Conditions? Modelling and Forecasting Arabica Coffee Prices. European Review of Agricultural Economics. 45 583-615.
BibTeX
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.
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Status of publication | Published |
---|---|
Affiliation | WU |
Type of publication | Journal article |
Journal | European Review of Agricultural Economics |
Citation Index | SSCI |
WU-Journal-Rating new | VW-C, WH-B |
Language | English |
Title | Fundamentals, Speculation or Macroeconomic Conditions? Modelling and Forecasting Arabica Coffee Prices |
Volume | 45 |
Year | 2018 |
Page from | 583 |
Page to | 615 |
Reviewed? | Y |
DOI | http://dx.doi.org/10.1093/erae/jby010 |
Open Access | N |
Associations
- People
- Crespo Cuaresma, Jesus (Details)
- External
- Hlouskova, Jaroslava (Institute for Advanced Studies, Austria)
- Obersteiner, Michael (IIASA, Austria)
- Organization
- Department of Economics (Crespo Cuaresma) (Details)
- Research Institute for Human Capital and Development
FI
(Former organization)
- Competence Center for Sustainability Transformation and Responsibility WE (Details)
- Research Institute for Cryptoeconomics FI (Details)