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

被引：0
|
作者：
Tuyenh, Dang Trung [1 ]
Zhang Caihong [1 ]
Hong, Nguyen Thi [1 ]
Akhtar, Rizwan [1 ,2 ]
Elamin, Khalid M. E. [1 ,3 ]
机构：
[1] Beijing Forestry Univ, Sch Econ & Management, Beijing, Peoples R China
[2] Karakurum Int Univ GB, Gilgit Baltistan, Pakistan
[3] Agr Res Corp Econ & Policy Res Ctr, Khartoum, Sudan
来源：
FRESENIUS ENVIRONMENTAL BULLETIN | 2020年 / 29卷 / 12A期
关键词：
Cointegration test; Granger causality; price volatility; VAR model; VEC model; Vietnamese coffee; CRUDE-OIL SPOT; FUTURES PRICES; ERROR-CORRECTION; EXCHANGE-RATE; COINTEGRATION; TESTS; NONLINEARITIES; EFFICIENCY; MARKETS; MODELS;
D O I：
暂无
中图分类号：
X [环境科学、安全科学];
学科分类号：
08 ; 0830 ;
摘要：
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.
引用
收藏
页码：11151 / 11164
页数：14
相关论文
共 50 条
  • [11] Extent and possible causes of intrayear agricultural commodity price volatility
    Ott, Herve
    [J]. AGRICULTURAL ECONOMICS, 2014, 45 (02) : 225 - 252
  • [12] Price volatility spillovers among agricultural commodity and crude oil markets: Evidence from the range-based estimator
    Gozgor, Giray
    Memis, Cahit
    [J]. AGRICULTURAL ECONOMICS-ZEMEDELSKA EKONOMIKA, 2015, 61 (05): : 214 - 221
  • [13] Price volatility and price transmission in perishable commodity markets: evidence from Chinese lychee markets
    Zheng, Xuyun
    Pan, Zheng
    Zhuang, Lijuan
    [J]. APPLIED ECONOMICS LETTERS, 2020, 27 (09) : 748 - 752
  • [14] Assessing the Vulnerability to Price Spikes in Agricultural Commodity Markets
    Triantafyllou, Athanasios
    Dotsis, George
    Sarris, Alexandros
    [J]. JOURNAL OF AGRICULTURAL ECONOMICS, 2020, 71 (03) : 631 - 651
  • [15] Price Volatility, the Maturity Effect, and Global Oil Prices: Evidence from Chinese Commodity Futures Markets
    Ao J.
    Chen J.
    [J]. Journal of Economics and Finance, 2020, 44 (4) : 627 - 654
  • [16] A COMMENT ON "THE WELFARE IMPACTS OF COMMODITY PRICE VOLATILITY: EVIDENCE FROM RURAL ETHIOPIA"
    McBride, Linden
    [J]. AMERICAN JOURNAL OF AGRICULTURAL ECONOMICS, 2016, 98 (02) : 670 - 675
  • [17] IDENTIFICATION OF KEY SUCCESS FACTORS OF VIETNAMESE COFFEE EXPORT ENTERPRISES
    Van, Thich Nguyen
    [J]. POLISH JOURNAL OF MANAGEMENT STUDIES, 2023, 27 (01): : 327 - 342
  • [18] Market Reforms and Commodity Price Volatility: The Case of East African Coffee Market
    Lukanima, Benedicto
    Swaray, Raymond
    [J]. WORLD ECONOMY, 2014, 37 (08): : 1152 - 1185
  • [19] Coffee Output Reaction to Climate Change and Commodity Price Volatility: The Nigeria Experience
    Oko-Isu, Anthony
    Chukwu, Agnes Ugboego
    Ofoegbu, Grace Nyereugwu
    Igberi, Christiana Ogonna
    Ololo, Kennedy Okechukwu
    Agbanike, Tobechi Faith
    Anochiwa, Lasbrey
    Uwajumogu, Nkechinyere
    Enyoghasim, Michael Oguwuike
    Okoro, Uzoma Nnaji
    Iyaniwura, Adeolu Adewale
    [J]. SUSTAINABILITY, 2019, 11 (13)
  • [20] FINANCIAL SPECULATION IMPACT ON AGRICULTURAL COMMODITY PRICE VOLATILITY: TGARCH APPROACH
    Staugaitis, Algirdas Justinas
    [J]. ECONOMIC SCIENCE FOR RURAL DEVELOPMENT 2020, 2020, 53 : 123 - 130
12345