The fluctuation linkages and price volatility risk on agricultural commodity market: Evidence from Vietnamese coffee

Q1 Decision Sciences

Uncertain Supply Chain Management Pub Date : 2023-01-01 DOI:10.5267/j.uscm.2023.6.017

Nguyen Thi Thu Hoai, Dang Trung Tuyen, Nguyễn Duy Nhiên, N. Hong

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引用次数: 0

Abstract

This paper uses the DCC-GARCH and Value at Risk (VaR) model to analyze the fluctuation, linkage, and price volatility risk among coffee price series in the period of 2004 - 2020. In terms of the fluctuation, the study points out, the volatility of Vietnamese coffee price and the price of Robusta coffee in two markets were affected by two ARCH terms and GARCH terms at 1 percent level. Meanwhile, the coffee price of Brazil and Colombia is only impacted by the ARCH term. The linkage between Brazil and Colombia is the biggest. The average coefficient linkage among Vietnam with two main competitors is relatively small. In terms of price volatility risk, the price volatility risk of Vietnamese coffee is the smallest and the biggest risk is belonging to Brazilian coffee price. The results obtained would be a valuable reference for stakeholders, policymakers, coffee processing and exporting enterprises, and coffee farmers to clearly understand the fluctuation and linkage among coffee export price series, and thereby have appropriate and effective solutions and strategies in price volatility risk management to sustainable development.

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农产品市场的波动联系与价格波动风险:来自越南咖啡的证据

本文采用DCC-GARCH和VaR模型对2004 - 2020年咖啡价格序列的波动、联动和价格波动风险进行了分析。在波动方面，研究指出，越南咖啡价格和罗布斯塔咖啡价格在两个市场的波动受到两个ARCH条款和GARCH条款在1%水平的影响。同时，巴西和哥伦比亚的咖啡价格只受到ARCH期限的影响。巴西和哥伦比亚之间的联系是最大的。越南与两个主要竞争对手之间的平均系数联系相对较小。在价格波动风险方面，越南咖啡的价格波动风险最小，最大的风险属于巴西咖啡价格。研究结果可为利益相关方、政策制定者、咖啡加工出口企业和咖啡农清楚地了解咖啡出口价格系列之间的波动和联系，从而为可持续发展提供适当有效的价格波动风险管理解决方案和策略提供有价值的参考。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Uncertain Supply Chain Management Decision Sciences-Statistics, Probability and Uncertainty

CiteScore

5.60

自引率

0.00%

发文量

112

期刊介绍： Supply chain management (SCM) plays an essential role in managing the movement of raw materials into an organization, certain issues of the internal processing of materials into finished goods, and the movement of finished products out of the organization for end-consumer delivery. The goal of SCM is to improve trust and collaboration among supply chain partners and to improve inventory visibility. However, many SCM problems deal with uncertain events such as uncertainty in demand, supply, quality, price, etc. This forum is dedicated to all scholars who wish to share their ideas about uncertainty in SCM problems. Uncertain supply chain management is a quarterly publication dedicated to all scientists in all over the world who wish to share their experiences and knowledge in this field. Our policy is to perform a peer review on all submitted articles and publishes original and high quality articles.