Detection of cartel evidence: a case study for Belém/PA and Santarém/PA using volatility models

Detalhes bibliográficos
Autor(a) principal: Silva, Estevão Miguel Cardoso da
Data de Publicação: 2021
Outros Autores: Carvalho, Brena do Nascimento, Santos, Zilda Joaquina Cohen Gama dos, Lobato, Tarcísio da Costa
Tipo de documento: Artigo
Idioma: por
Título da fonte: Research, Society and Development
Texto Completo: https://rsdjournal.org/index.php/rsd/article/view/21397
Resumo: The aim of this paper is to detect evidence of cartel in the application of volatility models in price data of gas dealers in the municipalities of Belém/PA and Santarém/PA. Cartels are coordinated actions between firms in which there are tacit or explicit agreements aimed at price coordination, quantities offered and/or market slices, to maximize profit jointly. For the detection of cartels, arch, GARCH, EGARCH and TGARCH volatility models will be applied. The data used are the average weekly gasoline prices extracted from the official portal of the National Agency for Petroleum, Natural Gas and Biofuels (ANP), in the period from 2004 to 2020. The results of the equation for mean showed no indications of cartel, while the ARCH model for variance detected only in Belém. There were no indications of the presence of asymmetric shocks in the Belém series, with only the occurrence in Santarém. It is concluded that the methodology is useful for the detection of cartels of gasoline dealers.
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spelling Detection of cartel evidence: a case study for Belém/PA and Santarém/PA using volatility modelsDetección de pruebas de cárteles: un estudio de caso para Belém/PA y Santarém/PA utilizando modelos de volatilidadDetecção de indícios de cartel: um estudo de caso para Belém/PA e Santarém/PA por meio de modelos de volatilidadeCartelModelos de volatilidadCombustibles.CartelVolatility modelsFuels.CartelModelos de volatilidadeCombustíveis.The aim of this paper is to detect evidence of cartel in the application of volatility models in price data of gas dealers in the municipalities of Belém/PA and Santarém/PA. Cartels are coordinated actions between firms in which there are tacit or explicit agreements aimed at price coordination, quantities offered and/or market slices, to maximize profit jointly. For the detection of cartels, arch, GARCH, EGARCH and TGARCH volatility models will be applied. The data used are the average weekly gasoline prices extracted from the official portal of the National Agency for Petroleum, Natural Gas and Biofuels (ANP), in the period from 2004 to 2020. The results of the equation for mean showed no indications of cartel, while the ARCH model for variance detected only in Belém. There were no indications of the presence of asymmetric shocks in the Belém series, with only the occurrence in Santarém. It is concluded that the methodology is useful for the detection of cartels of gasoline dealers.El objetivo de este artículo es detectar evidencias de cártel en la aplicación de modelos de volatilidad en los datos de precios de las estaciones de los distribuidores de gasoline municipios de Belém/PA y Santarém/PA. Los cárteles son acciones coordinadas entre empresas en las que existen acuerdos tácitos o explícitos destinados a la coordinación de precios, cantidades ofrecidas y/o rebanadas de mercado, para maximizar las ganancias juntos. Para la detección de cárteles se aplicarán los modelos de volatilidad arch, GARCH, EGARCH y TGARCH. Los datos utilizados son los precios promedio semanales de la gasolina extraídos del portal oficial de la Agencia Nacional del Petróleo, Gas Natural y Biocombustibles (ANP), de 2004 a 2020. Los resultados de la ecuación para la media no mostraron indicios de cártel, mientras que el modelo ARCH para la varianza se detectó solo en Belém. No hubo indicios de la presencia de choques asimétricos en la serie de Belém, con sólo la ocurrencia en Santarém. Se concluye que la metodología es útil para la detección de cárteles de distribuidores de gasolina.O objetivo deste artigo é detectar indício de cartel na aplicação de modelos de volatilidade em dados de preços de postos revendedores de gasolina dos municípios de Belém/PA e Santarém/PA. Cartéis são ações coordenadas entre firmas nas quais há acordos tácitos ou explícitos objetivando a coordenação de preços, quantidades ofertadas e/ou fatias de mercado, para maximização de lucro conjuntamente. Para detecção dos cartéis, serão aplicados modelos de volatilidade ARCH, GARCH, EGARCH e TGARCH. Os dados utilizados são os preços médios semanais de gasolina extraídos do portal oficial da Agência Nacional do Petróleo, Gás Natural e Biocombustíveis (ANP), no período de 2004 a 2020. Os resultados da equação para média não apontaram indícios de cartel, enquanto o modelo ARCH para variância detectou apenas em Belém. Não houve indícios de presença de choques assimétricos na série de Belém havendo apenas a ocorrência em Santarém. Conclui-se que a metodologia é útil para a detecção de cartéis de revendedores de gasolina.Research, Society and Development2021-10-12info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfhttps://rsdjournal.org/index.php/rsd/article/view/2139710.33448/rsd-v10i13.21397Research, Society and Development; Vol. 10 No. 13; e279101321397Research, Society and Development; Vol. 10 Núm. 13; e279101321397Research, Society and Development; v. 10 n. 13; e2791013213972525-3409reponame:Research, Society and Developmentinstname:Universidade Federal de Itajubá (UNIFEI)instacron:UNIFEIporhttps://rsdjournal.org/index.php/rsd/article/view/21397/18909Copyright (c) 2021 Estevão Miguel Cardoso da Silva; Brena do Nascimento Carvalho; Zilda Joaquina Cohen Gama dos Santos; Tarcísio da Costa Lobatohttps://creativecommons.org/licenses/by/4.0info:eu-repo/semantics/openAccessSilva, Estevão Miguel Cardoso daCarvalho, Brena do NascimentoSantos, Zilda Joaquina Cohen Gama dosLobato, Tarcísio da Costa2021-11-21T18:26:28Zoai:ojs.pkp.sfu.ca:article/21397Revistahttps://rsdjournal.org/index.php/rsd/indexPUBhttps://rsdjournal.org/index.php/rsd/oairsd.articles@gmail.com2525-34092525-3409opendoar:2024-01-17T09:40:49.377580Research, Society and Development - Universidade Federal de Itajubá (UNIFEI)false
dc.title.none.fl_str_mv Detection of cartel evidence: a case study for Belém/PA and Santarém/PA using volatility models
Detección de pruebas de cárteles: un estudio de caso para Belém/PA y Santarém/PA utilizando modelos de volatilidad
Detecção de indícios de cartel: um estudo de caso para Belém/PA e Santarém/PA por meio de modelos de volatilidade
title Detection of cartel evidence: a case study for Belém/PA and Santarém/PA using volatility models
spellingShingle Detection of cartel evidence: a case study for Belém/PA and Santarém/PA using volatility models
Silva, Estevão Miguel Cardoso da
Cartel
Modelos de volatilidad
Combustibles.
Cartel
Volatility models
Fuels.
Cartel
Modelos de volatilidade
Combustíveis.
title_short Detection of cartel evidence: a case study for Belém/PA and Santarém/PA using volatility models
title_full Detection of cartel evidence: a case study for Belém/PA and Santarém/PA using volatility models
title_fullStr Detection of cartel evidence: a case study for Belém/PA and Santarém/PA using volatility models
title_full_unstemmed Detection of cartel evidence: a case study for Belém/PA and Santarém/PA using volatility models
title_sort Detection of cartel evidence: a case study for Belém/PA and Santarém/PA using volatility models
author Silva, Estevão Miguel Cardoso da
author_facet Silva, Estevão Miguel Cardoso da
Carvalho, Brena do Nascimento
Santos, Zilda Joaquina Cohen Gama dos
Lobato, Tarcísio da Costa
author_role author
author2 Carvalho, Brena do Nascimento
Santos, Zilda Joaquina Cohen Gama dos
Lobato, Tarcísio da Costa
author2_role author
author
author
dc.contributor.author.fl_str_mv Silva, Estevão Miguel Cardoso da
Carvalho, Brena do Nascimento
Santos, Zilda Joaquina Cohen Gama dos
Lobato, Tarcísio da Costa
dc.subject.por.fl_str_mv Cartel
Modelos de volatilidad
Combustibles.
Cartel
Volatility models
Fuels.
Cartel
Modelos de volatilidade
Combustíveis.
topic Cartel
Modelos de volatilidad
Combustibles.
Cartel
Volatility models
Fuels.
Cartel
Modelos de volatilidade
Combustíveis.
description The aim of this paper is to detect evidence of cartel in the application of volatility models in price data of gas dealers in the municipalities of Belém/PA and Santarém/PA. Cartels are coordinated actions between firms in which there are tacit or explicit agreements aimed at price coordination, quantities offered and/or market slices, to maximize profit jointly. For the detection of cartels, arch, GARCH, EGARCH and TGARCH volatility models will be applied. The data used are the average weekly gasoline prices extracted from the official portal of the National Agency for Petroleum, Natural Gas and Biofuels (ANP), in the period from 2004 to 2020. The results of the equation for mean showed no indications of cartel, while the ARCH model for variance detected only in Belém. There were no indications of the presence of asymmetric shocks in the Belém series, with only the occurrence in Santarém. It is concluded that the methodology is useful for the detection of cartels of gasoline dealers.
publishDate 2021
dc.date.none.fl_str_mv 2021-10-12
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv https://rsdjournal.org/index.php/rsd/article/view/21397
10.33448/rsd-v10i13.21397
url https://rsdjournal.org/index.php/rsd/article/view/21397
identifier_str_mv 10.33448/rsd-v10i13.21397
dc.language.iso.fl_str_mv por
language por
dc.relation.none.fl_str_mv https://rsdjournal.org/index.php/rsd/article/view/21397/18909
dc.rights.driver.fl_str_mv https://creativecommons.org/licenses/by/4.0
info:eu-repo/semantics/openAccess
rights_invalid_str_mv https://creativecommons.org/licenses/by/4.0
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Research, Society and Development
publisher.none.fl_str_mv Research, Society and Development
dc.source.none.fl_str_mv Research, Society and Development; Vol. 10 No. 13; e279101321397
Research, Society and Development; Vol. 10 Núm. 13; e279101321397
Research, Society and Development; v. 10 n. 13; e279101321397
2525-3409
reponame:Research, Society and Development
instname:Universidade Federal de Itajubá (UNIFEI)
instacron:UNIFEI
instname_str Universidade Federal de Itajubá (UNIFEI)
instacron_str UNIFEI
institution UNIFEI
reponame_str Research, Society and Development
collection Research, Society and Development
repository.name.fl_str_mv Research, Society and Development - Universidade Federal de Itajubá (UNIFEI)
repository.mail.fl_str_mv rsd.articles@gmail.com
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