Assessing the influence of exchange rate on agricultural commodity export price: evidence from Vietnamese coffee
Keywords: Cointegration test, Granger causality, Exchange rate, VAR model, Vietnamese coffee price
The purpose of this paper is to evaluate the influence of VND/USD exchange rate on Vietnamese coffee export price (PVN).
The study uses cointegration test, Granger causality test and vector autoregression (VAR) model.
The results reveal that there is no co-integrating equation between two variables. It means the exchange rate does not have an effect on PVN in the long run. Furthermore, there is one Granger causality relationship between VND/USD exchange rate and PVN in the short run, but not vice versa. The study suggests that the first previous period of PVN is the most closely related variable which has the greatest impact on the variation of PVN among the selected variables, meanwhile the effect of VND/USD exchange rate on it, contrarily, is positive and very trivial.
In overall, the impact of VND/USD exchange rate on Vietnamese coffee export price (PVN) has been analyzed deeply in this research by applying new approaches.
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