This study aims to examine the transmission mechanism of factors on the characteristic fluctuation of Vietnamese coffee bean export price (PVN).Design/methodology/approachApplying Markov switching–vector autoregressive model.FindingsSignificantly, the empirical results showed that the transmission of independent variables on PVN is non-linear, and the fluctuation of PVN is affected by many factors, especially PVN in the previous period. In addition, the effect of Robusta coffee price was the greatest with coefficient is 0.28785, and the correlation between PVN and it was also the highest in both regimes with coefficients are 0.5317 and 0.3959, respectively.Originality/valueThese obtained results are in accordance with reality, as Vietnam is the largest exporter of Robusta coffee in the world.
Journal of Asia Business Studies – Emerald Publishing
Published: Oct 25, 2021
Keywords: Transmission mechanism; Price volatility; Vietnamese coffee price; MS-VAR model; Volatility characteristic
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