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      <record key="001" att1="001" value="LIB911142700" att2="LIB911142700">001   LIB911142700</record>
      <field key="037" subkey="x">englisch</field>
      <field key="050" subkey="x">Forschungsbericht</field>
      <field key="076" subkey="">Ökonomie</field>
      <field key="079" subkey="y">http://www.ihs.ac.at/publications/eco/es-73.pdf</field>
      <field key="079" subkey="z">Jumah, Adusei - et al., The Effects of Dollar/Sterling Exchange Rate Volatility on Futures Markets for Coffee and Cocoa (pdf)</field>
      <field key="079" subkey="y">http://ideas.repec.org/p/ihs/ihsesp/73.html</field>
      <field key="079" subkey="z">Institute for Advanced Studies. Economics Series; 73 (RePEc)</field>
      <field key="100" subkey="">Jumah, Adusei</field>
      <field key="103" subkey="">Institute for Advanced Studies, Vienna</field>
      <field key="104" subkey="a">Kunst, Robert M.</field>
      <field key="107" subkey="">Institute for Advanced Studies, Vienna</field>
      <field key="331" subkey="">The Effects of Dollar/Sterling Exchange Rate Volatility on Futures Markets for Coffee and Cocoa</field>
      <field key="403" subkey="">1. Ed.</field>
      <field key="410" subkey="">Wien</field>
      <field key="412" subkey="">Institut für Höhere Studien</field>
      <field key="425" subkey="">1999, October</field>
      <field key="433" subkey="">29 pp.</field>
      <field key="451" subkey="">Institut für Höhere Studien; Reihe Ökonomie; 73</field>
      <field key="451" subkey="h">Kunst, Robert M. (Ed.) ; Fisher, Walter (Ed.) ; Ritzberger, Klaus (Ed.)</field>
      <field key="461" subkey="">Economics Series</field>
      <field key="517" subkey="c">from the Table of Contents: Introduction; Coffee and cocoa markets and their exchange rate linkages; Methodology; Empirical</field>
      <field key="res" subkey="u">lts; Summary and conclusion;</field>
      <field key="544" subkey="">IHSES 73</field>
      <field key="700" subkey="">C32</field>
      <field key="700" subkey="">C53</field>
      <field key="700" subkey="">G15</field>
      <field key="700" subkey="">Q14</field>
      <field key="720" subkey="">Commodity markets</field>
      <field key="720" subkey="">Multivariate GARCH models</field>
      <field key="720" subkey="">Exchange rates</field>
      <field key="720" subkey="">Volatility</field>
      <field key="720" subkey="">Forecasting</field>
      <field key="753" subkey="">Abstract: The paper investigates the extent to which the dollar/sterling exchange rate fluctuations affect coffee and cocoa</field>
      <field key="fut" subkey="u">res prices on the London LIFFE and the New York CSCE by means of multivariate GARCH models - under the assumption that</field>
      <field key="tra" subkey="d">ers in perfectly competitive markets have equal access to all available information on changes in weather and in global</field>
      <field key="dem" subkey="a">nd and supply conditions. In three out of the four investigated cases, exchange rate posed as a main source of risk for the</field>
      <field key="com" subkey="m">odity futures price. The significance and form of volatility spill-over effects of a bilateral exchange rate are shown to be</field>
      <field key="spe" subkey="c">ific for commodity and market. A forecasting comparison on the basis of the identified models suggests that possible gains in</field>
      <field key="pre" subkey="d">iction accuracy may be small.;</field>
    </SEQUENTIAL>
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