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

European Review of Agricultural Economics

Volumn 28, Issue 3, 2001, Pages 307-328

  Jumah, Adusei ^a   Kunst, Robert M ^a,b  

^a INSTITUTE FOR ADVANCED STUDIES   (Austria)

^b UNIVERSITY OF VIENNA   (Austria)

Author keywords

Commodity markets; Exchange rates; Multivariate ARCH models; Volatility

Indexed keywords

EID: 0035612989     PISSN: 01651587     EISSN: None     Source Type: Journal    
DOI: 10.1093/erae/28.3.307     Document Type: Article

References (6)

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3. Bollerslev, T. (1990). Modelling the coherence in short-run nominal exchange rates: a multivariate generalized ARCH model. Review of Economics and Statistics 72: 498-505.
4. Bui, N. and Pippenger, J. (1990). Commodity prices, exchange rates and their relative volatility. Journal of International Money and Finance 9: 3-20.
5. Chambers, M. J. and Bailey, R. E. (1996). A theory of commodity price fluctuations. Journal of Political Economy 104: 924-957.
6. Cuddington, J. T. and Liang, J. (1998). Commodity Price Volatility Across Exchange Rate Regimes. Working Paper Series 97-17. Washington, DC: Department of Economics, Georgetown University.