Loughborough University
Leicestershire, UK
LE11 3TU
+44 (0)1509 263171
Loughborough University

Loughborough University Institutional Repository

Please use this identifier to cite or link to this item: https://dspace.lboro.ac.uk/2134/355

Title: Forecasting the spot prices of various coffee types using linear and non-linear error correction models
Authors: Milas, Costas
Otero, Jesus
Panagiotidis, Theodore
Keywords: coffee prices
asymmetric and polynomial correction models
forecasting
Issue Date: 2003
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.
Description: Economics Research Paper, no. 03-14
URI: https://dspace.lboro.ac.uk/2134/355
Appears in Collections:Working Papers (Economics)

Files associated with this item:

File Description SizeFormat
Milaserp.pdf235.3 kBAdobe PDFView/Open

 

SFX Query

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.