US Coffe C Futures: Some results from the test of cointegration and GARCH

    Research output: Contribution to journalArticle

    Abstract

    The objective of this paper is to test whether the monthly prices of Coffee C futures and their corresponding spot prices provide evidence of an efficient market for Coffee C in the context of New York market. To achieve the objectives, we first test whether the series contain unit root, thereafter we apply co-integration tests and confirm the results thereof with Johansen procedures. Lastly, we apply the GARCH modelling. The study has important policy implications for governments, which are concerned with forecasting of the revenues from primary commodity exports. It will also enable them to decide if they can rely on futures market together with alternative strategies for stabilisation of exports. The study provides evidence that efficient market does exist for coffee C futures
    Original languageEnglish
    Pages (from-to)131-136
    Number of pages6
    JournalApplied Econometrics and International Development
    Volume6
    Issue number3
    Publication statusPublished - 2006

    Fingerprint

    coffee
    market
    futures market
    stabilization
    evidence
    commodity
    revenue
    test
    Generalized autoregressive conditional heteroscedasticity
    Coffee
    Cointegration
    modeling
    Efficient markets
    price
    Stabilization
    Cointegration test
    Futures markets
    GARCH modeling
    Unit root
    Primary commodities

    Cite this

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    title = "US Coffe C Futures: Some results from the test of cointegration and GARCH",
    abstract = "The objective of this paper is to test whether the monthly prices of Coffee C futures and their corresponding spot prices provide evidence of an efficient market for Coffee C in the context of New York market. To achieve the objectives, we first test whether the series contain unit root, thereafter we apply co-integration tests and confirm the results thereof with Johansen procedures. Lastly, we apply the GARCH modelling. The study has important policy implications for governments, which are concerned with forecasting of the revenues from primary commodity exports. It will also enable them to decide if they can rely on futures market together with alternative strategies for stabilisation of exports. The study provides evidence that efficient market does exist for coffee C futures",
    author = "Milind Sathye",
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    US Coffe C Futures: Some results from the test of cointegration and GARCH. / Sathye, Milind.

    In: Applied Econometrics and International Development, Vol. 6, No. 3, 2006, p. 131-136.

    Research output: Contribution to journalArticle

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