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The volatility characteristics of Vietnamese coffee export price and transmission mechanism of influencing factors: a Markov switching approach

The volatility characteristics of Vietnamese coffee export price and transmission mechanism of... 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. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Journal of Asia Business Studies Emerald Publishing

The volatility characteristics of Vietnamese coffee export price and transmission mechanism of influencing factors: a Markov switching approach

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Publisher
Emerald Publishing
Copyright
© Emerald Publishing Limited
ISSN
1558-7894
DOI
10.1108/jabs-04-2019-0134
Publisher site
See Article on Publisher Site

Abstract

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

Journal of Asia Business StudiesEmerald Publishing

Published: Oct 25, 2021

Keywords: Transmission mechanism; Price volatility; Vietnamese coffee price; MS-VAR model; Volatility characteristic

References