Quotation 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.


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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.

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Publication's profile

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-D, 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
Institute for Macroeconomics IN (Details)
Research Institute for Human Capital and Development FI (Details)
Competence Center for Sustainability Transformation and Responsibility WE (Details)
Research Institute for Cryptoeconomics FI (Details)
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