This paper examines the relevance of incorporating seasonability in agricultural supply models. Former studies have eliminated the problem of seasonability by using seasonally adjusted data. Recent developments in cointegration techniques allow the comprehensive modelling of error correcting...

The paper uses multivariate autoregressive conditional heteroscedasticity models to investigate the effect of dollar-sterling exchange rate fluctuations on coffee and cocoa futures prices on the London LIFFE and the New York CSCE. For both commodities and in both markets, the exchange rate...