Projektbericht

This study examines the determinants of cocoa prices in the futures market as well as in the physical market for raw cocoa. This examination is organized in two interrelated project strands: In the first project strand, financial mathematical and econometric models are extended by data-driven modeling. The resulting models are evaluated for their predictive power and used to simulate fundamental and stock market-based effects on the cocoa production chain under changing regulatory and political conditions. The second project strand focuses on marketing structures and price formation as well as their socio-economic conditions and impacts in the main cocoa producing country, Côte d'Ivoire. Farming household data that is representative for all cocoa-growing regions in the country is evaluated and supplemented by an institutional analysis of the local cocoa market. The first project strand on the futures market is able to identify the price determinants for cocoa price trends and daily cocoa returns. However, these do not contribute to predictive quality, and price trends are determined in particular by exogenously occurring news. This points to an efficient price discovery in the cocoa futures market which takes place in the spot market from 2015 and has an effect on the futures price trend. The second project strand on the physical cocoa market finds that regional deviations from the officially set producer price exist, despite the strong regulation of the cocoa sector in Côte d'Ivoire. An analysis of prices along the value chain shows that the price obtained by the cocoa regulator through forward contracts has been systematically lower than the world market price in recent years. Measures such as the “Living Income Differential” have so far failed to increase the livelihoods of cocoa farmers in the country.

Jacobs University Bremen

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