Coffee exports of Espírito Santo: application of the VAR methodology

Abstract

The objective of this paper was to estimate the impacts of shocks on exchange rate, export price, domestic price, domestic income, and foreign income on the coffee exports of Espírito Santo, using the vector autoregressive (VAR) methodology. The results showed that: i) a shock in the exchange rate has a positive effect on coffee exports from the third to the twelfth month after the shock; ii) the price of exports, contrary to expectations, only presented positive effects on coffee exports in the second month after the shock; iii) even when the domestic price generated an increase in coffee exports until the fourth month after the shock, after the fifth period, the trend is to reduce exports; iv) the increase in domestic income leads to a reduction in exports in most months after the shock; and v) shocks on foreign income positively impact exports in the second and third months. The exchange rate variable showed the greatest positive impact on coffee exports.