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The Reaction of Coffee Futures Price Volatility to Crop Reports

Author

Listed:
  • Rodrigo Lanna F. da Silveira
  • Fabio L. Mattos
  • Maria Sylvia M. Saes

Abstract

Analysis of prices and volatility plays an important role in coffee market, especially for developing countries, whose small producers and economies rely heavily on income generated by coffee trade. This study explores the impact of coffee crop reports on price volatility for coffee futures contracts during 2004–2014. Overall, results indicate that crop reports generally affect price volatility. The impact is particularly stronger when they provide information following the flowering periods in Colombia, Brazil, and Vietnam, world’s major producers.

Suggested Citation

  • Rodrigo Lanna F. da Silveira & Fabio L. Mattos & Maria Sylvia M. Saes, 2017. "The Reaction of Coffee Futures Price Volatility to Crop Reports," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 53(10), pages 2361-2376, October.
    • Handle: RePEc:mes:emfitr:v:53:y:2017:i:10:p:2361-2376
    DOI: 10.1080/1540496X.2016.1205976
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    Cited by:

    1. Daniel Grandisky Lerner & Helder Marcos Freitas Pereira & Maria Sylvia Macchione Saes & Gustavo Magalhães de Oliveira, 2021. "When Unfair Trade Is Also at Home: The Economic Sustainability of Coffee Farms," Sustainability, MDPI, vol. 13(3), pages 1-14, January.

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