Price co-movement and the hedger's value-at-risk in the futures markets for coffee

Panos Fousekis

Agricultural Economics Review, 2017, vol. Volume 18, issue Issue 01

Abstract: This work investigates the strength and the pattern of co-movement between the futures price of the Arabica coffee (traded in New York) and the futures price of the Robusta coffee (traded in London) and obtains forecasts for the Value-at-Risk (VaR) for a commercial trader. The empirical analysis relies of the statistical tool of copulas and on daily observations from 2006 to 2016. According to the empirical results, co-movement is symmetric with respect to sign but is asymmetric with respect to size. The Value-at-Risk ranges from -7 percent to -3 percent, depending on the level of confidence employed.

Keywords: Marketing (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:ags:aergaa:330599

DOI: 10.22004/ag.econ.330599

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