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Fundamentals, speculation or macroeconomic conditions? Modelling and forecasting Arabica coffee prices

Author

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  • Jesus Crespo Cuaresma
  • Jaroslava Hlouskova
  • Michael Obersteiner

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.

Suggested Citation

  • Jesus Crespo Cuaresma & Jaroslava Hlouskova & Michael Obersteiner, 2018. "Fundamentals, speculation or macroeconomic conditions? Modelling and forecasting Arabica coffee prices," European Review of Agricultural Economics, Oxford University Press and the European Agricultural and Applied Economics Publications Foundation, vol. 45(4), pages 583-615.
    • Handle: RePEc:oup:erevae:v:45:y:2018:i:4:p:583-615.
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    File URL: http://hdl.handle.net/10.1093/erae/jby010
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    Citations

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    Cited by:

    1. Juan Carlos Laso Bayas & Andrea Gardeazabal & Mathias Karner & Christian Folberth & Luis Vargas & Rastislav Skalský & Juraj Balkovič & Anto Subash & Moemen Saad & Sylvain Delerce & Jesús Crespo Cuares, 2020. "AgroTutor: A Mobile Phone Application Supporting Sustainable Agricultural Intensification," Sustainability, MDPI, vol. 12(22), pages 1-10, November.
    2. Kwas, Marek & Paccagnini, Alessia & Rubaszek, Michał, 2022. "Common factors and the dynamics of cereal prices. A forecasting perspective," Journal of Commodity Markets, Elsevier, vol. 28(C).
    3. Jesus Crespo Cuaresma & Jaroslava Hlouskova & Michael Obersteiner, 2021. "Agricultural commodity price dynamics and their determinants: A comprehensive econometric approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(7), pages 1245-1273, November.
    4. Krzysztof Drachal & Michał Pawłowski, 2024. "Forecasting Selected Commodities’ Prices with the Bayesian Symbolic Regression," IJFS, MDPI, vol. 12(2), pages 1-56, March.
    5. Xiaojie Xu, 2020. "Corn Cash Price Forecasting," American Journal of Agricultural Economics, John Wiley & Sons, vol. 102(4), pages 1297-1320, August.

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