Speculation and price volatility in the coffee market

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Speculation and price volatility in the coffee market


Green coffee growers, most of whom are smallholders, have suffered from the significant volatility and fall in the international price of this commodity over the past decade. It is therefore crucial to understand the factors that drive price volatility, which has been studied extensively for other commodities but not for coffee. This study looks into the determinants of the conditional volatility of green coffee prices in three different markets: spot, futures and physical.

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Abstract .-- Introduction .-- I. Determinants of price volatility (second moment) A. State variables. B. Economic variables. C. Market structure variables. -- II. Data description and sources. -- III. Description of the time series and specifications .-- IV. Methodology. -- V. Empirical results .-- VI. Discussion and conclusions.