ASSESSING THE EFFECT OF FACTORS ON AGRICULTURAL COMMODITY EXPORT PRICE VOLATILITY: EVIDENCE FROM VIETNAMESE COFFEE

This paper analyzes the influence of factors as the price of futures market, World oil price, and exchange rate on Vietnamese coffee export price volatility by using Cointegration test, Granger causality test, and VAR/VEC model. The results reveal one co-integrating equation among the selected variables. In addition, only Robusta coffee price and Arabica coffee price are in Granger causality relationship with Vietnamese coffee export price, but not vice versa. Finally, the study suggests that Robusta coffee price is the most closely related variable which has the greatest impact on the variation of Vietnamese coffee export price in the selected variables. The obtained results in this paper are very helpful for Vietnamese coffee farmers, exporters and stakeholders in investment and risk management, also to Vietnam Government for policymaking.