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

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dc.creatorMilas C.spa
dc.creatorOtero Cardona, Jesús Gilbertospa
dc.creatorPanagiotidis T.spa
dc.date.accessioned2020-05-26T00:12:04Z
dc.date.available2020-05-26T00:12:04Z
dc.date.created2004spa
dc.description.abstractThis 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. © 2004 John Wiley and Sons, Ltd.eng
dc.format.mimetypeapplication/pdf
dc.identifier.doihttps://doi.org/10.1002/ijfe.245
dc.identifier.issn10991158
dc.identifier.issn10769307
dc.identifier.urihttps://repository.urosario.edu.co/handle/10336/24355
dc.language.isoengspa
dc.publisherJohn Wiley and Sons Ltdspa
dc.relation.citationEndPage288
dc.relation.citationIssueNo. 3
dc.relation.citationStartPage277
dc.relation.citationTitleInternational Journal of Finance and Economics
dc.relation.citationVolumeVol. 9
dc.relation.ispartofInternational Journal of Finance and Economics, ISSN:10991158, 10769307, Vol.9, No.3 (2004); pp. 277-288spa
dc.relation.urihttps://www.scopus.com/inward/record.uri?eid=2-s2.0-3943099239&doi=10.1002%2fijfe.245&partnerID=40&md5=c3df88383717eb5d534d8b5fad1c6494spa
dc.rights.accesRightsinfo:eu-repo/semantics/openAccess
dc.rights.accesoAbierto (Texto Completo)spa
dc.source.instnameinstname:Universidad del Rosariospa
dc.source.reponamereponame:Repositorio Institucional EdocURspa
dc.subject.keywordCoffeespa
dc.subject.keywordCommodity marketspa
dc.subject.keywordEstimation methodspa
dc.subject.keywordForecasting methodspa
dc.subject.keywordPrice dynamicsspa
dc.subject.keywordAsymmetric and polynomial error modelsspa
dc.subject.keywordCoffee pricesspa
dc.subject.keywordForecastingspa
dc.titleForecasting the spot spices of various coffee types using linear and non-linear error correction modelsspa
dc.typearticleeng
dc.type.hasVersioninfo:eu-repo/semantics/publishedVersion
dc.type.spaArtículospa
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