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Forecasting the spot spices of various coffee types using linear and non-linear error correction models

    Research output: Contribution to Journal › Research Article › peer-review

    Abstract

    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.

    Original languageEnglish (US)
    Pages (from-to)277-288
    Number of pages12
    JournalInternational Journal of Finance and Economics
    Volume9
    Issue number3
    DOIs
    StatePublished - Jul 2004

    All Science Journal Classification (ASJC) codes

    • Accounting
    • Finance
    • Economics and Econometrics

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