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Forecasting the spot prices of various coffee types using linear and non-linear error correction models
preprint
posted on 2005-08-12, 12:54 authored by Costas Milas, Jesus Otero, Theodore PanagiotidisThis 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.
History
School
- Business and Economics
Department
- Economics
Pages
218444 bytesPublication date
2003Notes
Economics Research Paper, no. 03-14Language
- en