The effects of dollar-sterling exchange rate volatility on futures markets for coffee and cocoa

Adusei Jumah ()

European Review of Agricultural Economics, 2001, vol. 28, issue 3, 307-328

Abstract: The paper uses multivariate autoregressive conditional heteroscedasticity models to investigate the effect of dollar-sterling exchange rate fluctuations on coffee and cocoa futures prices on the London LIFFE and the New York CSCE. For both commodities and in both markets, the exchange rate emerges as a main source of risk for the commodity futures price. We find that the commodities show similarities not only in their long-run features and first-order shock propagation, but also in their characteristics of volatility propagation. Copyright 2001, Oxford University Press.

Date: 2001
References: Add references at CitEc
Citations: View citations in EconPapers (8)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Working Paper: The Effects of Dollar/Sterling Exchange Rate Volatility on Futures Markets for Coffee and Cocoa (1999)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:oup:erevae:v:28:y:2001:i:3:p:307-328

Ordering information: This journal article can be ordered from
https://academic.oup.com/journals

Access Statistics for this article

European Review of Agricultural Economics is currently edited by Timothy Richards, Salvatore Di Falco, Céline Nauges and Vincenzina Caputo

More articles in European Review of Agricultural Economics from Oxford University Press and the European Agricultural and Applied Economics Publications Foundation Oxford University Press, Great Clarendon Street, Oxford OX2 6DP, UK. Contact information at EDIRC.
Bibliographic data for series maintained by Oxford University Press ().