Impact of exchange rate volatility on coffee export in Kenya

Figures & data

Figure 1. The USD/KSHS real exchange rate from 1990 to 2020.

Source: Central Bank of Kenya (2021).

Figure 2. Trend analysis of Kenyan coffee production and exports from 1990 to 2020.

Source: International Coffee Organization (ICO, 2021).

Figure 3. The exchange-rate volatility between USD/KShs from 2001 to 2020 estimated by Purée & Steinherr model.

Source: Central Bank of Kenya (2021).

Table 1. Summary results of $\mathit{\text{ERV}}$ and coffee exported using gravity model.

	Baseline	Fixed effect	Random effect	OLS
$\mathit{\text{ln}}\left(\mathit{\nu }\right)$	−0.0127***	−0.00712**	−0.0131***	−0.00324***
	(0.00634)	(0.00457)	(0.00411)	(0.00438)
$\mathit{\text{ln}}\left(\mathit{\text{RER}}\right)$	0.490***	0.183***	−0.0762***	−0.0538***
	(0.0402)	(0.0373)	(0.00398)	(0.00253)
$\mathit{\text{ln}}\left({\mathit{\varphi }}_{\mathit{\text{kt}}}\right)$	–	0.469***	0.124***	0.152***
		(0.0196)	(0.00185)	(0.00403)
$\mathit{\text{ln}}\left(\mathit{\text{KEM}}\right)$	–	0.317***	0.374***	0.245***
		(0.0419)	(0.0401)	(0.0385)
Constant	−7.435***	−2.429***	3.747**	4.170***
	(3.010)	(1.341)	(0.516)	(1.857)
Observations	160	160	160	160
R-squared	0.007	0.010		0.048
Firm FE	Yes	Yes	Yes	–
Year FE	Yes	Yes	Yes

Source: Result estimates.

Note. *, **, and *** denote significance at the 10, 5, and 1% levels, respectively.

Standard error in parenthesis.

Table 2. Summary results of $\mathit{\text{ERV}}$ and coffee exported with interaction term using gravity model.

	Fixed effect	Random effect
$\mathit{\text{ln}}\left(\mathit{\nu }\right)$	−0.0431***	−0.0723***
	(0.00311)	(0.00164)
$\mathit{\text{ln}}\left(\mathit{\text{RER}}\right)$	0.0842***	0.0212***
	(0.0437)	(0.00628)
$\mathit{\text{SD}}\left(\mathit{\text{lnTFP}}\right)$	0.0320***	0.0465***
	(0.00213)	(0.00144)
$\mathit{\text{SD}}\left(\mathit{\text{ln}}\mathit{\psi }\right)$	0.271***	0.0346***
	(0.00432)	(0.00275)
$\mathit{\text{ln}}\left(\mathit{\nu }\right)\mathit{*}\mathit{\text{SD}}\left(\mathit{\text{lnTPF}}\right)$	0.0170***	−0.00367**
	(0.00740)	(0.00541)
$\mathit{\text{ln}}\left(\mathit{\nu }\right)\mathit{*}\mathit{\text{SD}}\left(\mathit{\text{ln}}\mathit{\psi }\right)$	−0.0146***	0.0190***
	(0.00567)	(0.00318)
Constant	9.84***	0.634***
	(0.00756)	(0.00321)
Observations	160	160
R-squared	0.009
Firm fixed effect	Yes	Yes
Year fixed effect	Yes	Yes

Source: Result estimates.

Note. *, **, and *** denote significance at the 10, 5, and 1% levels, respectively.

Standard error in parenthesis.

Table 3. Summary results for robustness check using quantile regression.

	$\mathit{\text{ln}}$ (Coffee exports)	Percentiles of $\mathit{\psi }$
	All sample	Low	Median	High
$\mathit{\text{ln}}\left(\mathit{\nu }\right)$	−0.0265***	−0.00867**	−0.0242**	−0.0205
	(0.00391)	(0.0432)	(0.00678)	(0.0345)
$\mathit{\text{lnTFP}}$	0.0676***	0.0745***	0.0967***	0.0745***
	(0.0214)	(0.0650)	(0.0126)	(0.0320)
$\mathit{\text{ln}}\mathit{\psi }$	0.0544***
	(0.00395)
$\mathit{\text{ln}}\left(\mathit{\nu }\right)\mathit{*}\mathit{\text{ln}}\left(\mathit{\text{all}}\right)$	−0.0312***
	(0.00136)
$\mathit{\text{ln}}\mathit{\psi }\left(\mathit{\text{Low}}\mathit{ }0-33\mathit{\%}\right)$		0.0453*
		(0.0185)
$\mathit{\text{ln}}\left(\mathit{\nu }\right)\mathit{*}\mathit{\text{ln}}\mathit{\psi }\left(\mathit{\text{low}}\right)$		0.0676
		(0.0204)
$\mathit{\text{ln}}\mathit{\psi }\left(\mathit{\text{Low}}\mathit{ }34-67\mathit{\%}\right)$			0.332***
			(0.0102)
$\mathit{\text{ln}}\left(\mathit{\nu }\right)\mathit{*}\mathit{\text{ln}}\mathit{\psi }\left(\mathit{\text{medium}}\right)$			−0.000459
			(0.0274)
$\mathit{\text{ln}}\mathit{\psi }\left(\mathit{\text{Low}}\mathit{ }67-100\mathit{\%}\right)$				0.680***
				(0.0431)
$\mathit{\text{ln}}\mathit{\nu }\mathit{*}\mathit{\text{ln}}\mathit{\psi }\left(\mathit{\text{high}}\right)$				0.0700***
				(0.0284)
Constant	11.12***	11.35***	10.716***	10.514***
	(0.0416)	(0.0654)	(0.182)	(0.119)
Observations	160	55	52	53
Fixed effects	Yes	Yes	Yes	Yes

Source: Result estimates.

Note. *, **, and *** denote significance at the 10, 5, and 1% levels, respectively.

Standard error in parenthesis.

Data availability statement

The data is available at the Mendeley data platform using either doi or URL below: Mendeley Data: doi: 10.17632/wkypp73j7z.1; Data URL: https://data.mendeley.com/datasets/wkypp73j7z/1.