Coffee futures: role in reducing coffee producers' price risk
The paper investigates whether coffee producers can benefit by taking coffee production|marketing decisions on the basis of coffee futures forecasts. The methodology employed is to match futures and spot prices for the coffee futures contract traded at the international commodity exchanges. Regression analysis demonstrates that changes in spot prices are not explained by changes in lagged futures prices. On the contrary, it emerges that futures prices tend to adapt to the prevailing spot prices. The deviations of the spot prices from the lagged futures prices are over 30 per cent on average and they do not follow any systematic pattern. Therefore, the hypothesis that coffee futures market information could benefit coffee producers cannot be empirically supported. Copyright © 2004 John Wiley & Sons, Ltd.
Volume (Year): 16 (2004)
Issue (Month): 7 ()
|Contact details of provider:|| Web page: http://www3.interscience.wiley.com/journal/5102/home|
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Just, Richard E. & Rausser, Gordon C, 1985.
"Determination of the predominance of various expectations patterns in commodity futures and spot markets,"
CUDARE Working Paper Series
362, University of California at Berkeley, Department of Agricultural and Resource Economics and Policy.
- Just, Richard E. & Rausser, Gordon C., 1985. "Determination of the predominance of various expectations patterns in commodity futures and spot markets," Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series qt9wv9s614, Department of Agricultural & Resource Economics, UC Berkeley.
- Neil Kellard, 2002. "Evaluating Commodity Market Efficiency: Are Cointegration Tests Appropriate?," Journal of Agricultural Economics, Wiley Blackwell, vol. 53(3), pages 513-529.
- Reardon, Thomas, 1997. "Using evidence of household income diversification to inform study of the rural nonfarm labor market in Africa," World Development, Elsevier, vol. 25(5), pages 735-747, May.
- Graciela Kaminsky & Manmohan S. Kumar, 1990. "Efficiency in Commodity Futures Markets," IMF Staff Papers, Palgrave Macmillan, vol. 37(3), pages 670-699, September.
- Boum-Jong Choe, 1990. "Commodity price forecasts and futures prices," Policy Research Working Paper Series 436, The World Bank.
- Shonkwiler, J S & Maddala, G S, 1985. "Modeling Expectations of Bounded Prices: An Application to the Market for Corn," The Review of Economics and Statistics, MIT Press, vol. 67(4), pages 697-702, November.
- Frank Ellis, 1998. "Household strategies and rural livelihood diversification," Journal of Development Studies, Taylor & Francis Journals, vol. 35(1), pages 1-38.
When requesting a correction, please mention this item's handle: RePEc:wly:jintdv:v:16:y:2004:i:7:p:983-1002. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing)or (Christopher F. Baum)
If references are entirely missing, you can add them using this form.