Coffee futures: Role in reducing coffee producers' price risk

Mohan, Sushil and Love, James (2004) Coffee futures: Role in reducing coffee producers' price risk. Journal of International Development, 16 (7). pp. 983-1002. ISSN 0954-1748 (https://doi.org/10.1002/jid.1158)

Abstract

The paper investigates whether coffee producers can benefit by taking coffee production/marketing decisions on the basis of coffee futures forecasts. The methodology employed is to match futures and spot prices for the coffee futures contract traded at the international commodity exchanges. Regression analysis demonstrates that changes in spot prices are not explained by changes in lagged futures prices. On the contrary, it emerges that futures prices tend to adapt to the prevailing spot prices. The deviations of the spot prices from the lagged futures prices are over 30 per cent on average and they do not follow any systematic pattern. Therefore, the hypothesis that coffee futures market information could benefit coffee producers cannot be empirically supported.

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• Item metadata

  Item type:	Article
  ID code:	3921
  Dates:	Date Event 2004 Published
  Subjects:	Social Sciences > Economic Theory
  Department:	Strathclyde Business School > Economics
  Depositing user:	Strathprints Administrator
  Date deposited:	22 Aug 2007
  Last modified:	20 Dec 2024 11:58
  URI:	https://strathprints.strath.ac.uk/id/eprint/3921