| Summary: | 碩士 === 國立高雄應用科技大學 === 國際企業研究所 === 104 === The aim of this study is to investigate the relationships between spot price and futures price of coffee in international coffee futures market. Besides, the study also estimates the relationships among coffee price, oil price, and exchange rate of U.S. dollar, Using VAR and VECM models.
The result shows that coffee spot and futures prices are cointegrated in New York market,and the causality is unidirectional, running from spot to futures; in other word, indicating that spot price has a significant impact on New York coffee futures price. Moreover, coffee spot and futures prices are not cointegrated in London market, and there is an unidirectional causality from futures to spot, indicating that London futures price has positive impact on spot. Besides, among exchange rates of three currencies (BRC, COP, and VND), only BRC has a significant negative impact on coffee price. And Also, Finally, Oil price has a significant and positive effect on spot price, though the effect is relatively small and inconsistent.
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