The Reaction of Coffee Futures Price Volatility to Crop Reports

Rodrigo Silveira, Fabio Mattos and Maria Sylvia M. Saes

Emerging Markets Finance and Trade, 2017, vol. 53, issue 10, 2361-2376

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.

Date: 2017
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DOI: 10.1080/1540496X.2016.1205976

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