Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/70309
Authors: 
Jumah, Adusei
Kunst, Robert M.
Year of Publication: 
1999
Series/Report no.: 
Reihe Ökonomie / Economics Series, Institut für Höhere Studien (IHS) 73
Abstract: 
The paper investigates the extent to which the dollar/sterling exchange rate fluctuations affect coffee and cocoa futures prices on the London LIFFE and the New York CSCE by means of multivariate GARCH models - under the assumption that traders in perfectly competitive markets have equal access to all available information on changes in weather and in global demand and supply conditions. In three out of the four investigated cases, exchange rate posed as a main source of risk for the commodity futures price. The significance and form of volatility spill-over effects of a bilateral exchange rate are shown to be specific for commodity and market. A forecasting comparison on the basis of the identified models suggests that possible gains in prediction accuracy may be small.
Subjects: 
commodity markets
multivariate GARCH models
exchange rates
volatility
forecasting
JEL: 
C32
C53
G15
Q14
Document Type: 
Working Paper

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