Malini, Nair (2005): Arbitrage, Cointegration and Testing the Unbiasedness Hypothesis in Coffee Futures Traded at the CSCE.
Download (64kB) | Preview
The objective of this study was to test the market efficiency hypothesis of Colombian coffee. This is of extreme importance to Colombia because the exports of coffee from this country provides for valuable foreign exchange and provides employment for her people. Historically this country has been concerned with the volatility of spot markets and used buffer stocks and quotas to protect her from price risk. The previous futures prices were found to be an unbiased predictor of current spot prices indicating the markets are efficient.
|Item Type:||MPRA Paper|
|Original Title:||Arbitrage, Cointegration and Testing the Unbiasedness Hypothesis in Coffee Futures Traded at the CSCE|
|Keywords:||Coffee futures, Error Correction Model, Dickie Fuller Test, Johansen Procedure|
|Subjects:||D - Microeconomics > D8 - Information, Knowledge, and Uncertainty > D81 - Criteria for Decision-Making under Risk and Uncertainty
G - Financial Economics > G2 - Financial Institutions and Services > G22 - Insurance; Insurance Companies
C - Mathematical and Quantitative Methods > C2 - Single Equation Models; Single Variables > C25 - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
C - Mathematical and Quantitative Methods > C0 - General > C01 - Econometrics
|Depositing User:||Malini Nair|
|Date Deposited:||08. Apr 2012 16:22|
|Last Modified:||13. Feb 2013 00:25|
Driscoll, J. L. “Changes in Rate Making for Federal Crop Insurance.” Multiple Peril Crop Insurance: A Collection of Empirical Studies, ed. Harry Mapp, pp.27-48. Stillwater OK: Agricultural Experiment Station, Oklahoma State University, 1988.
Goodwin, B.K. “ An Empirical Analysis of the Demand for Crop Insurance.” Amer. J. Agr. Econ. 75(May 1993):425-34.
__. “Premium Rate Determination in the Federal Crop Insurance Program: What do Averages Have to Say About Risk?” J. Agr. and Res. Econ. 19(December 1994):382-95.
Goodwin, B. K., and V. H. Smith. The Economics of Crop Insurance and Disaster Aid. Washington, D.C: AEI Press, 1995.
Greene, W. H. Econometric Analysis. New York: McMillan Publishing Company, 1993.
Kennedy, P. A Guide to Econometrics. Cambridge, MA: MIT Press, 1992.
Knight, T. O., and K. H. Coble. “Mean Yields and Crop Insurance Premium Rates: What Actuarial Experience Reveals About Rate Structures and the Potential for Adverse Selection.” Unpublished, 1999.
Knight, T. O., and K. H. Coble. “Actuarial Effects of Unit Structure in the U.S. Actual Production History Crop Insurance Program.” Submitted to J. Agr. and Appl. Econ., 1999.
Milliman & Robertson, Inc. “ Federal Crop Insurance Company Ratemaking Overview.” Draft paper prepared for the Economic Research Service, USDA, Pasadena, CA, June 14, 1996.
Miranda, M, J. “ Area-Yield Crop Insurance Reconsidered.” Amer. J. Agr. Econ. 73(May 1991):233-42.
Skees, J. R., and M.R. Reed. “Rate Making for Farm-Level Crop Insurance: Implications for Adverse Selection.” Amer. J. Agr. Econ. 68(August 1986): 653-9.
Smith, V. H., and B. K. Goodwin. “Crop Insurance, Moral Hazard, and Agricultural Chemical Use.” Amer. J. Agr. Econ. 78(May 1996):428-38.
Williams, J. R., G.R. Carricker, G.A. Barnaby, and J. K. Harper. “Crop Insurance and Disaster Assistance Design for Wheat and Sorghum.” Amer. J. Agr. Econ. 75(May 1993):435-47.
Available Versions of this Item
- Arbitrage, Cointegration and Testing the Unbiasedness Hypothesis in Coffee Futures Traded at the CSCE. (deposited 08. Apr 2012 16:22) [Currently Displayed]