Cointegration and Economic Adjustment in Agriculture: A VECM Approach to Coffee Price Shocks and Macroeconomic Dynamics

Aliaga-Miranda A.; Flores-Vilcapoma L.R.; Callupe-Cueva P.C.; Mariños-Alfaro J.C.; Visurraga-Camargo L.A.; Chavarry-Becerra W.S. · Economies (2026) · DOI: 10.3390/economies14050156

Resumen

Coffee-price volatility is a recurrent external shock for Peru’s small open economy, with potentially uneven consequences across sectors. This study evaluates whether global coffee prices and domestic macro-agricultural indicators share stable long-run equilibria and quantifies the transmission of coffee-price shocks to the terms of trade, nominal exchange rate, consumer prices, agricultural GDP, and total GDP. Using a multivariate vector error-correction model identified via Johansen cointegration, and controlling for major global disruptions and ENSO-related seasonality, we trace dynamic effects through impulse-response analysis. The results indicate economically meaningful cointegration, implying that external prices and domestic aggregates are linked by long-run restrictions. A positive coffee-price shock produces heterogeneous real effects: the response of aggregate GDP is modest and short-lived, while agricultural GDP reacts more strongly and persistently. The shock propagates mainly through external and nominal channels—especially the exchange rate and terms of trade—whereas consumer-price pass-through is present but comparatively moderate. These findings contribute to the commodity-shock literature by providing sector-sensitive evidence for an agricultural export shock and by clarifying the mechanisms through which coffee-price movements propagate to domestic activity and prices in a small open agricultural economy.

Instituciones: Universidad Científica del Sur; Universidad Tecnológica del Perú; Universidad Continental; Universidad Nacional Intercultural de la Selva Central Juan Santos Atahualpa; Universidad Nacional Autónoma Altoandina de Tarma