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Forecasting the spot prices of various coffee types using linear and non-linear error correction models

Milas, Costas and Otero, Jesus and Panagiotidis, Theodore (2004) Forecasting the spot prices of various coffee types using linear and non-linear error correction models. International Journal of Finance & Economics, 9 (3). pp. 277-288.

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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. Copyright \xA9 2004 John Wiley & Sons, Ltd.

Item Type: Article
Depositing User: Admin Admin
Date Deposited: 13 Oct 2015 17:55
Last Modified: 13 Oct 2015 17:55
URI: http://eprints.lib.uom.gr/id/eprint/511

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