Causality and Efficiency in the Coffee Futures Market
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References listed on IDEAS
- Ronald I. McKinnon, 1967. "Futures Markets, Buffer Stocks, and Income Stability for Primary Producers," Journal of Political Economy, University of Chicago Press, vol. 75(6), pages 844-844.
- Stein, Jerome L, 1980. "The Dynamics of Spot and Forward Prices in an Efficient Foreign Exchange Market with Rational Expectations," American Economic Review, American Economic Association, vol. 70(4), pages 565-583, September.
- Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-438, July.
- David A. Bessler & Jon A. Brandt, 1982. "Causality Tests in Livestock Markets," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 64(1), pages 140-144.
- Sarahelen Thompson, 1986. "Returns to storage in coffee and cocoa futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 6(4), pages 541-564, December.
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Cited by:
- Maurice, Noemie & Davis, Junior, 2011. "Unravelling the underlying causes of price volatility in world coffee and cocoa commodity markets," MPRA Paper 43813, University Library of Munich, Germany, revised 2012.
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More about this item
Keywords
Causality; Granger-causality; coffee; futures market; spot market; risk premium; efficiency; resource allocation; welfare;All these keywords.
JEL classification:
- O55 - Economic Development, Innovation, Technological Change, and Growth - - Economywide Country Studies - - - Africa
- L79 - Industrial Organization - - Industry Studies: Primary Products and Construction - - - Other
- F01 - International Economics - - General - - - Global Outlook
- O11 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Macroeconomic Analyses of Economic Development
- C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Operations Research; Statistical Decision Theory
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- O21 - Economic Development, Innovation, Technological Change, and Growth - - Development Planning and Policy - - - Planning Models; Planning Policy
- O19 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - International Linkages to Development; Role of International Organizations
- Q13 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agricultural Markets and Marketing; Cooperatives; Agribusiness
- M31 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Marketing and Advertising - - - Marketing
- D41 - Microeconomics - - Market Structure, Pricing, and Design - - - Perfect Competition
- L11 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance - - - Production, Pricing, and Market Structure; Size Distribution of Firms
- O24 - Economic Development, Innovation, Technological Change, and Growth - - Development Planning and Policy - - - Trade Policy; Factor Movement; Foreign Exchange Policy
- Q17 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agriculture in International Trade
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- F14 - International Economics - - Trade - - - Empirical Studies of Trade
- D40 - Microeconomics - - Market Structure, Pricing, and Design - - - General
- F13 - International Economics - - Trade - - - Trade Policy; International Trade Organizations
- E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)
- O13 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Agriculture; Natural Resources; Environment; Other Primary Products
- L78 - Industrial Organization - - Industry Studies: Primary Products and Construction - - - Government Policy
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