Deliverable 8.1: The decomposition of agricultural commodity markets volatility between fundamentals and market speculation
Oct 11 2016
|We analyse the role played by market fundamentals, speculation and macroeconomic conditions as empirical determinants of commodity price changes. We combine model averaging techniques to explain historical patterns with an in-depth analysis of out-ofsample predictability of commodity prices using fundamentals as well as macroeconomic and financial variables. Our results indicate that variables related to global macroeconomic and financial developments contain valuable information to explain the historical pattern of coffee price developments, as well as to improve out-of-sample predictions of coffee prices.
|Authors at SUSFANS