The effects of dollar/sterling exchange rate volatility on futures markets for coffee and cocoa
使用多元GARCH模型研究美元/英镑汇率波动如何影响伦敦和纽约的咖啡与可可期货价格，发现汇率在多数情况下是主要风险来源，但溢出效应因商品和市场而异。
The paper investigates the extent to which the dollar/sterling exchange rate fluctuations affect coffee and cocoa futures prices on the London LIFFE and the New York CSCE by means of multivariate GARCH models -under the assumption that traders in perfectly competitive markets have equal access to all available information on changes in weather and in global demand and supply conditions.In three out of the four investigated cases, exchange rate posed as a main source of risk for the commodity futures price.The significance and form of volatility spill-over effects of a bilateral exchange rate are shown to be specific for commodity and market.A forecasting comparison on the basis of the identified models suggests that possible gains in prediction accuracy may be small.