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

Abstract

Purpose

This study aims to examine the transmission mechanism of factors on the characteristic fluctuation of Vietnamese coffee bean export price (PVN).

Design/methodology/approach

Applying Markov switching–vector autoregressive model.

Findings

Significantly, 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/value

These obtained results are in accordance with reality, as Vietnam is the largest exporter of Robusta coffee in the world.

Citation

Dang, T., Caihong, Z., Nguyen, T., Nguyen, N. and Tran, C. (2021), "The volatility characteristics of Vietnamese coffee export price and transmission mechanism of influencing factors: a Markov switching approach", Journal of Asia Business Studies, Vol. 15 No. 5, pp. 784-803. https://doi.org/10.1108/JABS-04-2019-0134