Turkish coffee bean imports: asymmetric exchange rate pass-through analysis

Nazif Durmaz and Shuzhe Zheng

Journal of Agribusiness in Developing and Emerging Economies, 2023, vol. 15, issue 2, 391-403

Abstract: Purpose - As one of the world's most valuable traded commodities, the market for coffee beans has grown enormously in recent years. The paper aims on analyzing the nonlinear exchange rate pass-through in Turkish coffee bean imports from two important sources in South America: Brazil and Colombia. Design/methodology/approach - Data collected in this paper through reliable channels include nominal import value, exchange rate, production of total industry, etc. Independent and dependent variables are obtained through conversion. Since the nonlinearly adjusted exchange rate differs significantly from the linearly adjusted one for the export trade of Brazilian coffee beans, this paper develops the autoregressive distributed lag (ARDL) and nonlinear ARDL frameworks and demonstrates their application through asymmetric cointegration and error correction models. Findings - The results of this paper show that imports of Brazilian coffee bean exhibit a more dramatic asymmetry compared to Colombia's coffee bean imports. The results of this study contribute to the import trade of non-oil commodities in developing countries, particularly Brazil, and enrich the existing literature on nonlinear exchange rate adjustments. Research limitations/implications - The export of Colombian coffee beans is not as old as Brazil, and it was not until much later that Colombia began to export coffee beans to the rest of the world. Originality/value - The present study is an addition to the literature of agricultural trade. The authors analyze the nonlinear exchange rate pass-through in Turkish coffee bean imports from two important sources in South America: Brazil and Colombia. Different from the current mainstream research on oil commodity trade, this paper focuses on international trade from the perspective of coffee beans, which can enlighten the practice in this field.

Keywords: Turkish coffee imports; Exchange rate pass-through; Asymmetric cointegration; Nonlinear ARDL; F14; F31 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eme:jadeep:jadee-05-2023-0113

DOI: 10.1108/JADEE-05-2023-0113

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