Unravelling the underlying causes of price volatility in world coffee and cocoa commodity markets
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Nuno Limão & Arvind Panagariya, 2003. "Why is there an Anti-trade Bias in Trade Policy?," International Trade 0310003, University Library of Munich, Germany.
- Raymond B Swaray, "undated". "Volatility of primary commodity prices: some evidence from agricultural exports in Sub-Saharan Africa," Discussion Papers 02/06, Department of Economics, University of York.
- Baffes, John, 2007.
"Oil spills on other commodities,"
Resources Policy, Elsevier, vol. 32(3), pages 126-134, September.
- Baffes, John, 2007. "Oil spills on other commodities," Policy Research Working Paper Series 4333, The World Bank.
- Randall Fortenbery, 2004.
"Developed speculation and underdeveloped markets--the role of futures trading on export prices in less developed countries,"
European Review of Agricultural Economics, Oxford University Press and the European Agricultural and Applied Economics Publications Foundation, vol. 31(4), pages 451-471, December.
- Fortenbery, T. Randall & Zapata, Hector O., 2004. "Developed Speculation and Under Developed Markets - The Role of Futures Trading on Export Prices in Less Developed Countries," Staff Paper Series 470, University of Wisconsin, Agricultural and Applied Economics.
- Fortenbery, T. Randall & Zapata, Hector O., 2004. "Developed Speculation and Under Developed Markets - The Role of Futures Trading on Export Prices in Less Developed Countries," Staff Papers 12592, University of Wisconsin-Madison, Department of Agricultural and Applied Economics.
- Aradhyula, Satheesh V. & Holt, Matthew T., 1988.
"Garch Time-Series Models: An Application To Retail Livestock Prices,"
Western Journal of Agricultural Economics, Western Agricultural Economics Association, vol. 13(2), pages 1-10, December.
- Satheesh V. Aradhyula & Matthew T. Holt, 1988. "GARCH Time Series Models: An Application to Retail Livestock Prices," Food and Agricultural Policy Research Institute (FAPRI) Publications (archive only) 88-wp29, Center for Agricultural and Rural Development (CARD) at Iowa State University.
- Satheesh V. Aradhyula & Matthew T. Holt, 1988. "GARCH Time Series Models: An Application to Retail Livestock Prices," Center for Agricultural and Rural Development (CARD) Publications 88-wp29, Center for Agricultural and Rural Development (CARD) at Iowa State University.
- Staatz, John M. & Kizito, Andrew M. & Weber, Michael T. & Dembele, Niama Nango, 2011. "Evaluating the Impact on Market Performance of Investments in Market Information Systems: Methodological Challenges," Staff Paper Series 108184, Michigan State University, Department of Agricultural, Food, and Resource Economics.
- Claire Schaffnit Chatterjee, 2011. "Where are Food Prices Heading?," Working Papers id:3770, eSocialSciences.
- Kebede, Yohannes, 1992. "Causality and Efficiency in the Coffee Futures Market," MPRA Paper 646, University Library of Munich, Germany, revised 1992.
- Zilcha, Itzhak & Broll, Udo, 1992. "Optimal hedging by firms with multiple sources of risky revenues," Economics Letters, Elsevier, vol. 39(4), pages 473-477, August.
- Mitchell, Donald, 2008. "A note on rising food prices," Policy Research Working Paper Series 4682, The World Bank.
- Nardella, Michele, 2007. "Price efficiency and speculative trading in cocoa futures markets," 81st Annual Conference, April 2-4, 2007, Reading University, UK 7970, Agricultural Economics Society.
- Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-370, March.
- Oecd, 2006. "Agricultural Market Impacts of Future Growth in the Production of Biofuels," OECD Papers, OECD Publishing, vol. 6(1), pages 1-57.
- Jean‐Louis Combes & Patrick Guillaumont, 2002.
"Commodity Price Volatility, Vulnerability and Development,"
Development Policy Review, Overseas Development Institute, vol. 20(1), pages 25-39, March.
- Jean-Louis COMBES & Patrick GUILLAUMONT, 2000. "Commodity Price Volatility, Vulnerability and Development," Working Papers 200015, CERDI.
- C. Peter Timmer, 2009. "Did Speculation Affect World Rice Prices?," Working Papers 09-07, Agricultural and Development Economics Division of the Food and Agriculture Organization of the United Nations (FAO - ESA).
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Sephton, Peter S., 2019. "El Niño, La Niña, and a cup of Joe," Energy Economics, Elsevier, vol. 84(C).
- Saralees Nadarajah & Emmanuel Afuecheta & Stephen Chan, 2015. "GARCH modeling of five popular commodities," Empirical Economics, Springer, vol. 48(4), pages 1691-1712, June.
- Benoit Beila MALAN, 2013. "Volatility and stabilization of the price of coffee and cocoa in Côte d'Ivoire," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 59(7), pages 333-340.
- To Thi Kim Hong, 2015. "Effect of exchange rates and gasoline price on export price of Vietnamese coffee," HO CHI MINH CITY OPEN UNIVERSITY JOURNAL OF SCIENCE - ECONOMICS AND BUSINESS ADMINISTRATION, HO CHI MINH CITY OPEN UNIVERSITY JOURNAL OF SCIENCE, HO CHI MINH CITY OPEN UNIVERSITY, vol. 5(2), pages 29-36.
- Blake, Daniella & Dawson, Carolina & Loeillet, Denis & Staver, Charles, 2018. "Can Global Climate Change affect Prices in the World Banana Market?," German Journal of Agricultural Economics, Humboldt-Universitaet zu Berlin, Department for Agricultural Economics, vol. 67(01), March.
- Bruno G. Rüttimann, 2016. "Modelling financial type 2b globalisation and its effects on trade, investments and unemployment," International Journal of Computational Economics and Econometrics, Inderscience Enterprises Ltd, vol. 6(2), pages 176-191.
- Tadahiro Nakajima, 2014. "Price Formation of Coffee Beans: New Evidence from the Japanese Market," Research in World Economy, Research in World Economy, Sciedu Press, vol. 5(2), pages 23-30, September.
- Tiziano Distefano & Guido Chiarotti & Francesco Laio & Luca Ridolfi, 2018. "Spatial distribution of the international food prices: unexpected randomness and heterogeneity," SEEDS Working Papers 0118, SEEDS, Sustainability Environmental Economics and Dynamics Studies, revised Jan 2018.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Czudaj Robert L., 2020.
"The role of uncertainty on agricultural futures markets momentum trading and volatility,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 24(3), pages 1-39, June.
- Czudaj Robert L., 2020. "The role of uncertainty on agricultural futures markets momentum trading and volatility," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 24(3), pages 1-39, June.
- Cheng, Sheng & Cao, Yan, 2019. "On the relation between global food and crude oil prices: An empirical investigation in a nonlinear framework," Energy Economics, Elsevier, vol. 81(C), pages 422-432.
- Christopher L. Gilbert, 2010. "How to Understand High Food Prices," Journal of Agricultural Economics, Wiley Blackwell, vol. 61(2), pages 398-425, June.
- Marco Lombardi & Chiara Osbat & Bernd Schnatz, 2012.
"Global commodity cycles and linkages: a FAVAR approach,"
Empirical Economics, Springer, vol. 43(2), pages 651-670, October.
- Lombardi, Marco J. & Osbat, Chiara & Schnatz, Bernd, 2010. "Global commodity cycles and linkages a FAVAR approach," Working Paper Series 1170, European Central Bank.
- Headey, Derek, 2011.
"Rethinking the global food crisis: The role of trade shocks,"
Food Policy, Elsevier, vol. 36(2), pages 136-146, April.
- Headey, Derek D., 2010. "Rethinking the global food crisis: The role of trade shocks," IFPRI discussion papers 958, International Food Policy Research Institute (IFPRI).
- Reboredo, Juan C., 2012. "Do food and oil prices co-move?," Energy Policy, Elsevier, vol. 49(C), pages 456-467.
- Lucotte, Yannick, 2016. "Co-movements between crude oil and food prices: A post-commodity boom perspective," Economics Letters, Elsevier, vol. 147(C), pages 142-147.
- Ebenezer, Appiah Collins & Jatoe, John Baptist D. & Mensa-Bonsu, Akwasi, 2018. "Food Price Sensitivity To Changes In Petroleum Price And Exchange Rate In Ghana: A Cointegration Analysis," 2018 Conference (2nd), August 8-11, Kumasi, Ghana 277791, Ghana Association of Agricultural Economists.
- Derek Headey & Sangeetha Malaiyandi & Shenggen Fan, 2010.
"Navigating the perfect storm: reflections on the food, energy, and financial crises,"
Agricultural Economics, International Association of Agricultural Economists, vol. 41(s1), pages 217-228, November.
- Headey, Derek D. & Malaiyandi, Sangeetha & Fan, Shenggen, 2009. "Navigating the Perfect Storm: Reflections on the Food, Energy, and Financial Crises," 2009 Conference, August 16-22, 2009, Beijing, China 53212, International Association of Agricultural Economists.
- Headey, Derek D. & Malaiyandi, Sangeetha & Fan, Shenggen, 2009. "Navigating the perfect storm: Reflections on the food, energy, and financial crises," IFPRI discussion papers 889, International Food Policy Research Institute (IFPRI).
- Lee Robinson & Alice Nicole Sindzingre, 2012. "China’s Ambiguous Impacts on Commodity-Dependent Countries: the Example of Sub-Saharan Africa (with a Focus on Zambia)," EconomiX Working Papers 2012-39, University of Paris Nanterre, EconomiX.
- Bernadette Andreosso-O’Callaghan & M. Zolin, 2010. "Long-term Cereal Price Changes: How Important is the Speculative Element?," Transition Studies Review, Springer;Central Eastern European University Network (CEEUN), vol. 17(4), pages 624-637, December.
- Troester, Bernhard & Staritz, Cornelia, 2013. "Fundamentals or financialisation of commodity markets: What determines recent wheat prices?," Working Papers 43, Austrian Foundation for Development Research (ÖFSE).
- Liu, Li, 2014. "Cross-correlations between crude oil and agricultural commodity markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 395(C), pages 293-302.
- Jain, Prachi & Maitra, Debasish, 2023. "Risk implications of dependence in the commodities: A copula-based analysis," Global Finance Journal, Elsevier, vol. 57(C).
- Nazlioglu, Saban & Erdem, Cumhur & Soytas, Ugur, 2013. "Volatility spillover between oil and agricultural commodity markets," Energy Economics, Elsevier, vol. 36(C), pages 658-665.
- Khaled Mokni & Manel Youssef, 2020. "Empirical analysis of the cross‐interdependence between crude oil and agricultural commodity markets," Review of Financial Economics, John Wiley & Sons, vol. 38(4), pages 635-654, October.
- Hochman, Gal & Rajagopal, Deepak & Timilsina, Govinda & Zilberman, David, 2011. "The role of inventory adjustments in quantifying factors causing food price inflation," Policy Research Working Paper Series 5744, The World Bank.
- Cullen S. Hendrix, 2011. "Markets vs. Malthus: Food Security and the Global Economy," Policy Briefs PB11-12, Peterson Institute for International Economics.
- Nazlioglu, Saban & Soytas, Ugur, 2011. "World oil prices and agricultural commodity prices: Evidence from an emerging market," Energy Economics, Elsevier, vol. 33(3), pages 488-496, May.
- Jamal Bouoiyour & Refk Selmi, 2015.
"Exchange volatility and export performance in Egypt: New insights from wavelet decomposition and optimal GARCH model,"
The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 24(2), pages 201-227, March.
- Bouoiyour, Jamal & Selmi, Refk, 2013. "Exchange Volatility and Export Performance in Egypt: New Insights from Wavelet Decomposition and Optimal GARCH Model," MPRA Paper 49140, University Library of Munich, Germany, revised Jan 2013.
- Jamal Bouoiyour & Refk Selmi, 2015. "Exchange Volatility and Export Performance in Egypt: New Insights from Wavelet Decomposition and Optimal GARCH Model," Post-Print hal-01879685, HAL.
More about this item
Keywords
Commodity price volatility; financialization; error correction modelling; cointegration theory; commodity dependent developing countries; least developed countries;All these keywords.
JEL classification:
- O11 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Macroeconomic Analyses of Economic Development
- E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)
- C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
- F24 - International Economics - - International Factor Movements and International Business - - - Remittances
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:43813. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Joachim Winter (email available below). General contact details of provider: https://edirc.repec.org/data/vfmunde.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.