Deliverable 8.1: Fundamentals, Speculation or Macroeconomic Conditions? On the Determinants of Commodity Price Dynamics, with an Application to Arabica Coffee

Paper authors
Jesus Crespo Cuaresma, Jaroslava Hlouskova and Michael Obersteiner
Date
Jul 19 2017
Description We analyse the role played by market fundamentals, speculation and macroeconomic conditions as empirical determinants of commodity price changes. We combine model averaging techniques to explain historical patterns with an in-depth analysis of out-of-sample predictability of commodity prices using fundamentals as well as macroeconomic and financial variables. Our results indicate that variables related to global macroeconomic and financial developments contain valuable information to explain the historical pattern of coffee price developments, as well as to improve out-of-sample predictions of coffee prices
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Deliverables
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Corresponding Author(s)
Jesus Crespo Cuaresma
Authors at SUSFANS
Work package
Keywords
Commodity prices, forecasting, vector autoregressive models, model uncertainty, model averaging