文章基本信息

标题：ASSESSING THE EFFECT OF FACTORS ON AGRICULTURAL COMMODITY EXPORT PRICE VOLATILITY: EVIDENCE FROM VIETNAMESE COFFEE
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作者：Dang Trung Tuyen ; Zhang Caihong ; Nguyen Thi Hong 等
期刊名称：Fresenius Environmental Bulletin
印刷版ISSN：1018-4619
出版年度：2020
卷号：29
期号：12A
页码：11151-11164
语种：English
出版社：PSP Publishing
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.
关键词：Cointegration test;Granger causality;price volatility;VAR model;VEC model;Vietnamese coffee