TY - JOUR
T1 - Forecasting the spot spices of various coffee types using linear and non-linear error correction models
AU - Milas, Costas
AU - Otero, Jesús
AU - Panagiotidis, Theodore
PY - 2004/7
Y1 - 2004/7
N2 - This paper estimates linear and non-linear error correction models for the spot prices of four different coffee types. In line with economic priors, we find some evidence that when prices are too high, they move back to equilibrium more slowly than when they are too low. This may reflect the fact that, in the short run, it is easier for countries to restrict the supply of coffee in order to raise prices, rather than increase supply in order to reduce them. Further, there is some evidence that adjustment is faster when deviations from the equilibrium level get larger. Our forecasting analysis suggests that asymmetric and polynomial error correction models offer weak evidence of improved forecasting performance relative to the random walk model.
AB - This paper estimates linear and non-linear error correction models for the spot prices of four different coffee types. In line with economic priors, we find some evidence that when prices are too high, they move back to equilibrium more slowly than when they are too low. This may reflect the fact that, in the short run, it is easier for countries to restrict the supply of coffee in order to raise prices, rather than increase supply in order to reduce them. Further, there is some evidence that adjustment is faster when deviations from the equilibrium level get larger. Our forecasting analysis suggests that asymmetric and polynomial error correction models offer weak evidence of improved forecasting performance relative to the random walk model.
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U2 - 10.1002/ijfe.245
DO - 10.1002/ijfe.245
M3 - Research Article
AN - SCOPUS:3943099239
SN - 1076-9307
VL - 9
SP - 277
EP - 288
JO - International Journal of Finance and Economics
JF - International Journal of Finance and Economics
IS - 3
ER -