The Reaction of Coffee Futures Price Volatility to Crop Reports |
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| Authors: | Rodrigo Lanna F da Silveira Fabio L Mattos Maria Sylvia M Saes |
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| Institution: | 1. Department of Economics, University of Campinas, Campinas, Brazilrlanna@unicamp.br;3. Department of Agricultural Economics, University of Nebraska–Lincoln, Lincoln, Nebraska, USA;4. Department of Business, University of S?o Paulo, S?o Paulo, Brazil |
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| Abstract: | Analysis of prices and volatility plays an important role in coffee market, especially for developing countries, whose small producers and economies rely heavily on income generated by coffee trade. This study explores the impact of coffee crop reports on price volatility for coffee futures contracts during 2004–2014. Overall, results indicate that crop reports generally affect price volatility. The impact is particularly stronger when they provide information following the flowering periods in Colombia, Brazil, and Vietnam, world’s major producers. |
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| Keywords: | coffee crop reports futures prices price volatility |
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