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- Title
The effects of dollar/sterling exchange rate volatility on futures markets for coffee and cocoa.
- Authors
Jumah, Adusei; Kunst, Robert M.
- Abstract
The paper uses multivariate autoregressive conditional heteroscedasticity models to investigate the effect of dollar/sterling exchange rate fluctuations on coffee and cocoa futures prices on the London LIFFE and the New York CSCE. For both commodities and in both markets, the exchange rate emerges as a main source of risk for the commodity futures price. We find that the commodities show similarities not only in their long‐run features and first‐order shock propagation, but also in their characteristics of volatility propagation.
- Subjects
FOREIGN exchange rates; MARKET volatility; FUTURES market; COFFEE industry; COMMODITY futures; COCOA industry; MULTIVARIATE analysis
- Publication
European Review of Agricultural Economics, 2001, Vol 28, Issue 3, p307
- ISSN
0165-1587
- Publication type
Article
- DOI
10.1093/erae/28.3.307