Abstract
We investigate empirically the main factors related to coffee and sugar (“softs”) price uncertainty. We link physical market fundamentals as well as financial variables to (i) market expectations of future price volatility and (ii) the extent to which these two commodities both co-move with equities. The physical market fundamentals that matter include the state of inventories, weather, and disease outbreaks. Beyond these fundamental factors, our results highlight the crucial role of financial market sentiment in understanding cross market linkages and the magnitude of softs market uncertainty.
Original language | English (US) |
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Pages (from-to) | 744-765 |
Number of pages | 22 |
Journal | Journal of Futures Markets |
Volume | 37 |
Issue number | 8 |
DOIs | |
State | Published - Aug 2017 |
Externally published | Yes |
ASJC Scopus subject areas
- Accounting
- General Business, Management and Accounting
- Finance
- Economics and Econometrics