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Price co-movement and the hedger's value-at-risk in the futures markets for coffee

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  • Fousekis, Panos

Abstract

This work investigates the strength and the pattern of co-movement between the futures price of the Arabica coffee (traded in New York) and the futures price of the Robusta coffee (traded in London) and obtains forecasts for the Value-at-Risk (VaR) for a commercial trader. The empirical analysis relies of the statistical tool of copulas and on daily observations from 2006 to 2016. According to the empirical results, co-movement is symmetric with respect to sign but is asymmetric with respect to size. The Value-at-Risk ranges from -7 percent to -3 percent, depending on the level of confidence employed.

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  • Fousekis, Panos, 2017. "Price co-movement and the hedger's value-at-risk in the futures markets for coffee," Agricultural Economics Review, Greek Association of Agricultural Economists, vol. 0(Issue 01), January.
    • Handle: RePEc:ags:aergaa:330599
    DOI: 10.22004/ag.econ.330599
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