| Trường DC | Giá trị | Ngôn ngữ |
|---|---|---|
| dc.contributor.author | Dang, Tuyen Trung | |
| dc.contributor.other | Caihong Zhang | |
| dc.contributor.other | Nguyen, Thi Hong | |
| dc.date.accessioned | 2023-11-01T10:23:49Z | - |
| dc.date.available | 2023-11-01T10:23:49Z | - |
| dc.date.issued | 2020 | |
| dc.identifier.isbn | 1972-0020 | |
| dc.identifier.uri | https://dlib.neu.edu.vn/handle/NEU/58645 | - |
| dc.description | Financial banking | |
| dc.description.abstract | Purpose – The purpose of this paper is to evaluate the influence of VND/USD exchange rate on Vietnamese coffee export price (PVN). Design/methodology/approach – The study uses cointegration test, Granger causality test and vector autoregression (VAR) model. Findings – 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. Originality/value – 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 | |
| dc.description.tableofcontents | 1. Introduction; 2. Literature review; 3. Study area and data sources; 4. Research methodology; 5. Empirical results and discussion; 6. Conclusion | |
| dc.format.extent | Khổ 21 x 29.7 | |
| dc.language.iso | en | |
| dc.publisher | Kinh Tế Quốc Dân | |
| dc.subject | Cointegration test | |
| dc.subject | Granger causality | |
| dc.subject | Exchange rate | |
| dc.subject | VAR model | |
| dc.subject | Vietnamese coffee price | |
| dc.title | Assessing the influence of exchange rate on agricultural commodity export price: evidence from Vietnamese coffee | |
| dc.type | Journal of Economics and Development | |
| dc.identifier.barcode | 10-1108_JED-02-2020-0014 | |
| dc.relation.reference | Asteriou, D., Masatci, K. and Pılbeam, K. (2016), “Exchange rate volatility and international trade: international evidence from the MINT countries”, Economic Modelling, Vol. 58, pp. 133-140. Buguk, C., Isik, M., Dellal, I. and Allen, A. (2003), “The impact of exchange rate variability on agricultural exports of developing countries: the case of Turkey”, Journal of International Food and Agribusiness Marketing, Vol. 13, pp. 83-105. Cheung, Y.-W. and Sengupta, R. (2013), “Impact of exchange rate movements on exports: an analysis of Indian non-financial sector firms”, Journal of International Money and Finance, Vol. 39, pp. 231-245. Devadoss, S., Hilland, A., Mittelhammer, R. and Foltz, J. (2014), “The effects of the Yuan-dollar exchange rate on agricultural commodity trade between the United States, China, and their competitors”, Agricultural Economics, Vol. 45, pp. 23-37. Doganlar, M. (2002), “Estimating the impact of exchange rate volatility on exports: evidence from Asian countries”, Applied Economics Letters, Vol. 9, pp. 859-863. Engle, R.F. and Granger, C.W. (1987), “Co-integration and error correction: representation, estimation, and testing”, Econometrica: Journal of the Econometric Society, pp. 251-276. Ferson, W.E., Sarkissian, S. and Simin, T.T. (2003), “Spurious regressions in financial economics?”, The Journal of Finance, Vol. 58, pp. 1393-1413. Granger, C.W. (1969), “Investigating causal relations by econometric models and cross-spectral methods”, Econometrica: Journal of the Econometric Society, pp. 424-438. Granger, C.W. and Newbold, P. (1974), “Spurious regressions in econometrics”, Journal of Econometrics, Vol. 2, pp. 111-120. Gso, V.G.S.O. (2017), Social and Economic Situation in 2017. Hamilton, J.D. (1994), Time Series Analysis, Princeton university press, Princeton, New Jersey, NJ. Johansen, S. and Juselius, K. (1990), “ Maximum likelihood estimation and inference on cointegration— with applications to the demand for money” , Oxford Bulletin of Economics and Statistics, Vol. 52, pp. 169-210. Mccallum, B.T. (2010), “Is the spurious regression problem spurious?”, Economics Letters, Vol. 107, pp. 321-323. Ng, S. and Perron, P. (2001), “Lag length selection and the construction of unit root tests with good size and power”, Econometrica, Vol. 69, pp. 1519-1554. Nguyen, T.N.T. and Tran, N.T. (2015), “A methodology to forecast commodity prices in Vietnam”, International Journal of Economics and Finance, Vol. 7. Rahman, S. and Serletis, A. (2009), “The effects of exchange rate uncertainty on exports”, Journal of Macroeconomics, Vol. 31, pp. 500-507. SBV (2015), Decision No.2730/QD–NHNN on the announcement of the official exchange rate between Vietnam Dong and US dollar and the cross rate between Vietnam dong and other foreign currencies, SBV, Hanoi. (in Vietnamese). Schwert, G.W. (2002), “Tests for unit roots: a Monte Carlo investigation”, Journal of Business & Economic Statistics, Vol. 20, pp. 5-17. Senadza, B. and Diaba, D.D. (2017), “Effect of exchange rate volatility on trade in Sub-Saharan Africa”, Journal of African Trade, Vol. 4, pp. 20-36. Serenis, D. and Tsounis, N. (2012), “A new approach for measuring volatility of the exchange rate”, Procedia Economics and Finance, Vol. 1, pp. 374-382. Sims, C.A. (1980), “Macroeconomics and reality”, Econometrica: Journal of the Econometric Society, pp. 1-48. Thuy, V. and Thuy, D. (2019), “The impact of exchange rate volatility on exports in Vietnam: a bounds testing approach”, Journal of Risk and Financial Management, Vol. 12 No. 6. To, T.K.H. (2015), “Effect OF exchange rates and gasoline price ON export price OF Vietnamese coffee”, Journal of Science Ho Chi Minh City Open University, Vol. 4 No. 8. To, T.K.H. (2016), “The volatility and competitiveness of Vietnam coffee export on world market”, Van Hien University Journal Of Science, Vol. 4 No. 7. Wang, K.L. and Barrett, C.B. (2007), “Estimating the effects of exchange rate volatility on export volumes”, Journal of Agricultural and Resource Economics, pp. 225-255. Xie, J., Kinnucan, H.W. and Myrland, Ø. (2008), “The effects of exchange rates on export prices of farmed salmon”, Marine Resource Economics, Vol. 23, pp. 439-457. | |
Bộ sưu tập | 02. Tạp chí (Tiếng Anh) | |
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| Trường DC | Giá trị | Ngôn ngữ |
|---|---|---|
| dc.contributor.author | Dang, Tuyen Trung | |
| dc.contributor.other | Caihong Zhang | |
| dc.contributor.other | Nguyen, Thi Hong | |
| dc.date.accessioned | 2023-11-01T10:23:49Z | - |
| dc.date.available | 2023-11-01T10:23:49Z | - |
| dc.date.issued | 2020 | |
| dc.identifier.isbn | 1972-0020 | |
| dc.identifier.uri | https://dlib.neu.edu.vn/handle/NEU/58645 | - |
| dc.description | Financial banking | |
| dc.description.abstract | Purpose – The purpose of this paper is to evaluate the influence of VND/USD exchange rate on Vietnamese coffee export price (PVN). Design/methodology/approach – The study uses cointegration test, Granger causality test and vector autoregression (VAR) model. Findings – 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. Originality/value – 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 | |
| dc.description.tableofcontents | 1. Introduction; 2. Literature review; 3. Study area and data sources; 4. Research methodology; 5. Empirical results and discussion; 6. Conclusion | |
| dc.format.extent | Khổ 21 x 29.7 | |
| dc.language.iso | en | |
| dc.publisher | Kinh Tế Quốc Dân | |
| dc.subject | Cointegration test | |
| dc.subject | Granger causality | |
| dc.subject | Exchange rate | |
| dc.subject | VAR model | |
| dc.subject | Vietnamese coffee price | |
| dc.title | Assessing the influence of exchange rate on agricultural commodity export price: evidence from Vietnamese coffee | |
| dc.type | Journal of Economics and Development | |
| dc.identifier.barcode | 10-1108_JED-02-2020-0014 | |
| dc.relation.reference | Asteriou, D., Masatci, K. and Pılbeam, K. (2016), “Exchange rate volatility and international trade: international evidence from the MINT countries”, Economic Modelling, Vol. 58, pp. 133-140. Buguk, C., Isik, M., Dellal, I. and Allen, A. (2003), “The impact of exchange rate variability on agricultural exports of developing countries: the case of Turkey”, Journal of International Food and Agribusiness Marketing, Vol. 13, pp. 83-105. Cheung, Y.-W. and Sengupta, R. (2013), “Impact of exchange rate movements on exports: an analysis of Indian non-financial sector firms”, Journal of International Money and Finance, Vol. 39, pp. 231-245. Devadoss, S., Hilland, A., Mittelhammer, R. and Foltz, J. (2014), “The effects of the Yuan-dollar exchange rate on agricultural commodity trade between the United States, China, and their competitors”, Agricultural Economics, Vol. 45, pp. 23-37. Doganlar, M. (2002), “Estimating the impact of exchange rate volatility on exports: evidence from Asian countries”, Applied Economics Letters, Vol. 9, pp. 859-863. Engle, R.F. and Granger, C.W. (1987), “Co-integration and error correction: representation, estimation, and testing”, Econometrica: Journal of the Econometric Society, pp. 251-276. Ferson, W.E., Sarkissian, S. and Simin, T.T. (2003), “Spurious regressions in financial economics?”, The Journal of Finance, Vol. 58, pp. 1393-1413. Granger, C.W. (1969), “Investigating causal relations by econometric models and cross-spectral methods”, Econometrica: Journal of the Econometric Society, pp. 424-438. Granger, C.W. and Newbold, P. (1974), “Spurious regressions in econometrics”, Journal of Econometrics, Vol. 2, pp. 111-120. Gso, V.G.S.O. (2017), Social and Economic Situation in 2017. Hamilton, J.D. (1994), Time Series Analysis, Princeton university press, Princeton, New Jersey, NJ. Johansen, S. and Juselius, K. (1990), “ Maximum likelihood estimation and inference on cointegration— with applications to the demand for money” , Oxford Bulletin of Economics and Statistics, Vol. 52, pp. 169-210. Mccallum, B.T. (2010), “Is the spurious regression problem spurious?”, Economics Letters, Vol. 107, pp. 321-323. Ng, S. and Perron, P. (2001), “Lag length selection and the construction of unit root tests with good size and power”, Econometrica, Vol. 69, pp. 1519-1554. Nguyen, T.N.T. and Tran, N.T. (2015), “A methodology to forecast commodity prices in Vietnam”, International Journal of Economics and Finance, Vol. 7. Rahman, S. and Serletis, A. (2009), “The effects of exchange rate uncertainty on exports”, Journal of Macroeconomics, Vol. 31, pp. 500-507. SBV (2015), Decision No.2730/QD–NHNN on the announcement of the official exchange rate between Vietnam Dong and US dollar and the cross rate between Vietnam dong and other foreign currencies, SBV, Hanoi. (in Vietnamese). Schwert, G.W. (2002), “Tests for unit roots: a Monte Carlo investigation”, Journal of Business & Economic Statistics, Vol. 20, pp. 5-17. Senadza, B. and Diaba, D.D. (2017), “Effect of exchange rate volatility on trade in Sub-Saharan Africa”, Journal of African Trade, Vol. 4, pp. 20-36. Serenis, D. and Tsounis, N. (2012), “A new approach for measuring volatility of the exchange rate”, Procedia Economics and Finance, Vol. 1, pp. 374-382. Sims, C.A. (1980), “Macroeconomics and reality”, Econometrica: Journal of the Econometric Society, pp. 1-48. Thuy, V. and Thuy, D. (2019), “The impact of exchange rate volatility on exports in Vietnam: a bounds testing approach”, Journal of Risk and Financial Management, Vol. 12 No. 6. To, T.K.H. (2015), “Effect OF exchange rates and gasoline price ON export price OF Vietnamese coffee”, Journal of Science Ho Chi Minh City Open University, Vol. 4 No. 8. To, T.K.H. (2016), “The volatility and competitiveness of Vietnam coffee export on world market”, Van Hien University Journal Of Science, Vol. 4 No. 7. Wang, K.L. and Barrett, C.B. (2007), “Estimating the effects of exchange rate volatility on export volumes”, Journal of Agricultural and Resource Economics, pp. 225-255. Xie, J., Kinnucan, H.W. and Myrland, Ø. (2008), “The effects of exchange rates on export prices of farmed salmon”, Marine Resource Economics, Vol. 23, pp. 439-457. | |
Bộ sưu tập | 02. Tạp chí (Tiếng Anh) | |
