The case for including additional long‐term oriented environmental data in coffee and cocoa futures forecasting models: an exploration [post]

Jaclyn Daitchman
2021 unpublished
Price discovery is a key function of the futures markets yet limited public information exists about the price‐building models used by market participants. To fill a gap in the literature, interviews were conducted with the largest coffee and cocoa traders, investors, and organizations to provide insight into the models they use to forecast supply and futures prices, with an emphasis on the environmental factors considered to have a significant impact on yield. Despite concerns in the academic
more » ... ns in the academic literature about soil degradation and climate change affecting the future viability of these crops, market participants primarily based their forecasts on short‐term weather patterns that deviated from the norm, as per historical data. Participants' near‐unanimous acknowledgement that low coffee and cocoa prices pose a threat to the sustainability of the industry suggests that there is room to price in long‐term factors into short‐term futures models.
doi:10.32920/ryerson.14653113 fatcat:jurbvvxgf5cvhm6llqk2jar3ny