Inflation of food and agricultural derivatives: an analysis of injury for the period from 1999 to 2011
Autor(a) principal: | |
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Data de Publicação: | 2012 |
Tipo de documento: | Dissertação |
Idioma: | por |
Título da fonte: | Biblioteca Digital de Teses e Dissertações da UFC |
Texto Completo: | http://www.teses.ufc.br/tde_busca/arquivo.php?codArquivo=9351 |
Resumo: | This study aims to analyze the relationship between the derivative operations and agricultural food inflation in Brazil and abroad. To this end, monthly data are used about the number of trades carried out on agricultural derivative contracts in BMF & BOVESPA, the IPCA of food and international prices of agricultural commodities from January 1999 until January 2011. The analysis applies some tests, such as the Augmented Dickey-Fuller (1979), the cointegration test of Johansen (1988), the Granger-causality test within an error-correction framework (GRANGER,1986) and the long-run causality test developed by Bruneau e Jondeau (1999). The results indicate both on short and long term a unidirectional causality from the international prices of agricultural commodities to the volume of derivatives contracts, and also the absence of a causal relationship between the latter and domestic food inflation. It follows that the dominant hypothesis is the price effect, thus changes in prices in the spot market Granger cause the elevation of the use of agricultural derivatives, although the reference to the agents are the international prices. Finally, the results still show, just for the long term, a unidirectional causality of the international food inflation on the Brazilianâs, demonstrating the significance of the foreign sector in the national food prices. |
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Biblioteca Digital de Teses e Dissertações da UFC |
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info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisInflation of food and agricultural derivatives: an analysis of injury for the period from 1999 to 2011InflaÃÃo de alimentos e derivativos agropecuÃrios: uma anÃlise de causalidade para o perÃodo de 1999 a 20112012-04-24Luiz Ivan de Melo Castelar04506766334http://lattes.cnpq.br/8710490356999657Nicolino Trompieri Neto91391750306http://buscatextual.cnpq.br/buscatextual/visualizacv.jsp?id=K4774844A1Roberto Tatiwa Ferreira41059689200http://lattes.cnpq.br/972375843973336102562337301http://lattes.cnpq.br/1292848718692331Lucas Gurgel LeiteUniversidade Federal do CearÃPrograma de PÃs-GraduaÃÃo em Economia - CAENUFCBR modelo de correÃÃo de erros commodities agropecuÃrias derivativosInflaÃÃoInflation Derivatives Agricultural commodities Error correction modelCIENCIAS SOCIAIS APLICADASThis study aims to analyze the relationship between the derivative operations and agricultural food inflation in Brazil and abroad. To this end, monthly data are used about the number of trades carried out on agricultural derivative contracts in BMF & BOVESPA, the IPCA of food and international prices of agricultural commodities from January 1999 until January 2011. The analysis applies some tests, such as the Augmented Dickey-Fuller (1979), the cointegration test of Johansen (1988), the Granger-causality test within an error-correction framework (GRANGER,1986) and the long-run causality test developed by Bruneau e Jondeau (1999). The results indicate both on short and long term a unidirectional causality from the international prices of agricultural commodities to the volume of derivatives contracts, and also the absence of a causal relationship between the latter and domestic food inflation. It follows that the dominant hypothesis is the price effect, thus changes in prices in the spot market Granger cause the elevation of the use of agricultural derivatives, although the reference to the agents are the international prices. Finally, the results still show, just for the long term, a unidirectional causality of the international food inflation on the Brazilianâs, demonstrating the significance of the foreign sector in the national food prices.Este estudo tem como objetivo analisar a relaÃÃo entre as operaÃÃes de derivativos agropecuÃrios e a inflaÃÃo de alimentos no Brasil e no exterior. Para tanto, sÃo utilizados dados mensais referentes ao nÃmero de negÃcios efetuados com contratos de derivativos agrÃcolas na BMF&BOVESPA, ao IPCA relativo à alimentaÃÃo e aos preÃos internacionais de commodities agropecuÃrias de janeiro de 1999 atà janeiro de 2011. Faz-se uso do teste Dickey Fuller Aumentado (1979), do teste de cointegraÃÃo de Johansen (1988), da causalidade de Granger com uma estrutura de mecanismo de correÃÃo de erros (GRANGER,1986), alÃm do teste de causalidade de longo-prazo desenvolvido por Bruneau e Jondeau (1999). Os resultados obtidos indicam, tanto no curto como no longo prazo, uma causalidade unidirecional dos preÃos internacionais de commodities agropecuÃrias sobre o volume de derivativos, alÃm da ausÃncia de relaÃÃo causal entre este Ãltimo e a inflaÃÃo nacional de alimentos. Dessa forma, tem-se que a hipÃtese preponderante à a do efeito preÃo, ou seja, alteraÃÃes dos preÃos no mercado à vista causam no sentido de Granger o aumento do uso de derivativos, sendo que o Ãndice de referÃncia dos agentes sÃo os preÃos internacionais. Por fim, os resultados demonstram, ainda, apenas para o longo prazo, uma causalidade unidirecional da inflaÃÃo internacional de alimentos sobre a brasileira, comprovando a significÃncia do setor externo nas alteraÃÃes dos preÃos nacionais de alimentosnÃo hÃhttp://www.teses.ufc.br/tde_busca/arquivo.php?codArquivo=9351application/pdfinfo:eu-repo/semantics/openAccessporreponame:Biblioteca Digital de Teses e Dissertações da UFCinstname:Universidade Federal do Cearáinstacron:UFC2019-01-21T11:22:29Zmail@mail.com - |
dc.title.en.fl_str_mv |
Inflation of food and agricultural derivatives: an analysis of injury for the period from 1999 to 2011 |
dc.title.alternative.pt.fl_str_mv |
InflaÃÃo de alimentos e derivativos agropecuÃrios: uma anÃlise de causalidade para o perÃodo de 1999 a 2011 |
title |
Inflation of food and agricultural derivatives: an analysis of injury for the period from 1999 to 2011 |
spellingShingle |
Inflation of food and agricultural derivatives: an analysis of injury for the period from 1999 to 2011 Lucas Gurgel Leite modelo de correÃÃo de erros commodities agropecuÃrias derivativos InflaÃÃo Inflation Derivatives Agricultural commodities Error correction model CIENCIAS SOCIAIS APLICADAS |
title_short |
Inflation of food and agricultural derivatives: an analysis of injury for the period from 1999 to 2011 |
title_full |
Inflation of food and agricultural derivatives: an analysis of injury for the period from 1999 to 2011 |
title_fullStr |
Inflation of food and agricultural derivatives: an analysis of injury for the period from 1999 to 2011 |
title_full_unstemmed |
Inflation of food and agricultural derivatives: an analysis of injury for the period from 1999 to 2011 |
title_sort |
Inflation of food and agricultural derivatives: an analysis of injury for the period from 1999 to 2011 |
author |
Lucas Gurgel Leite |
author_facet |
Lucas Gurgel Leite |
author_role |
author |
dc.contributor.advisor1.fl_str_mv |
Luiz Ivan de Melo Castelar |
dc.contributor.advisor1ID.fl_str_mv |
04506766334 |
dc.contributor.advisor1Lattes.fl_str_mv |
http://lattes.cnpq.br/8710490356999657 |
dc.contributor.referee1.fl_str_mv |
Nicolino Trompieri Neto |
dc.contributor.referee1ID.fl_str_mv |
91391750306 |
dc.contributor.referee1Lattes.fl_str_mv |
http://buscatextual.cnpq.br/buscatextual/visualizacv.jsp?id=K4774844A1 |
dc.contributor.referee2.fl_str_mv |
Roberto Tatiwa Ferreira |
dc.contributor.referee2ID.fl_str_mv |
41059689200 |
dc.contributor.referee2Lattes.fl_str_mv |
http://lattes.cnpq.br/9723758439733361 |
dc.contributor.authorID.fl_str_mv |
02562337301 |
dc.contributor.authorLattes.fl_str_mv |
http://lattes.cnpq.br/1292848718692331 |
dc.contributor.author.fl_str_mv |
Lucas Gurgel Leite |
contributor_str_mv |
Luiz Ivan de Melo Castelar Nicolino Trompieri Neto Roberto Tatiwa Ferreira |
dc.subject.por.fl_str_mv |
modelo de correÃÃo de erros commodities agropecuÃrias derivativos InflaÃÃo |
topic |
modelo de correÃÃo de erros commodities agropecuÃrias derivativos InflaÃÃo Inflation Derivatives Agricultural commodities Error correction model CIENCIAS SOCIAIS APLICADAS |
dc.subject.eng.fl_str_mv |
Inflation Derivatives Agricultural commodities Error correction model |
dc.subject.cnpq.fl_str_mv |
CIENCIAS SOCIAIS APLICADAS |
dc.description.sponsorship.fl_txt_mv |
nÃo hà |
dc.description.abstract.por.fl_txt_mv |
This study aims to analyze the relationship between the derivative operations and agricultural food inflation in Brazil and abroad. To this end, monthly data are used about the number of trades carried out on agricultural derivative contracts in BMF & BOVESPA, the IPCA of food and international prices of agricultural commodities from January 1999 until January 2011. The analysis applies some tests, such as the Augmented Dickey-Fuller (1979), the cointegration test of Johansen (1988), the Granger-causality test within an error-correction framework (GRANGER,1986) and the long-run causality test developed by Bruneau e Jondeau (1999). The results indicate both on short and long term a unidirectional causality from the international prices of agricultural commodities to the volume of derivatives contracts, and also the absence of a causal relationship between the latter and domestic food inflation. It follows that the dominant hypothesis is the price effect, thus changes in prices in the spot market Granger cause the elevation of the use of agricultural derivatives, although the reference to the agents are the international prices. Finally, the results still show, just for the long term, a unidirectional causality of the international food inflation on the Brazilianâs, demonstrating the significance of the foreign sector in the national food prices. Este estudo tem como objetivo analisar a relaÃÃo entre as operaÃÃes de derivativos agropecuÃrios e a inflaÃÃo de alimentos no Brasil e no exterior. Para tanto, sÃo utilizados dados mensais referentes ao nÃmero de negÃcios efetuados com contratos de derivativos agrÃcolas na BMF&BOVESPA, ao IPCA relativo à alimentaÃÃo e aos preÃos internacionais de commodities agropecuÃrias de janeiro de 1999 atà janeiro de 2011. Faz-se uso do teste Dickey Fuller Aumentado (1979), do teste de cointegraÃÃo de Johansen (1988), da causalidade de Granger com uma estrutura de mecanismo de correÃÃo de erros (GRANGER,1986), alÃm do teste de causalidade de longo-prazo desenvolvido por Bruneau e Jondeau (1999). Os resultados obtidos indicam, tanto no curto como no longo prazo, uma causalidade unidirecional dos preÃos internacionais de commodities agropecuÃrias sobre o volume de derivativos, alÃm da ausÃncia de relaÃÃo causal entre este Ãltimo e a inflaÃÃo nacional de alimentos. Dessa forma, tem-se que a hipÃtese preponderante à a do efeito preÃo, ou seja, alteraÃÃes dos preÃos no mercado à vista causam no sentido de Granger o aumento do uso de derivativos, sendo que o Ãndice de referÃncia dos agentes sÃo os preÃos internacionais. Por fim, os resultados demonstram, ainda, apenas para o longo prazo, uma causalidade unidirecional da inflaÃÃo internacional de alimentos sobre a brasileira, comprovando a significÃncia do setor externo nas alteraÃÃes dos preÃos nacionais de alimentos |
description |
This study aims to analyze the relationship between the derivative operations and agricultural food inflation in Brazil and abroad. To this end, monthly data are used about the number of trades carried out on agricultural derivative contracts in BMF & BOVESPA, the IPCA of food and international prices of agricultural commodities from January 1999 until January 2011. The analysis applies some tests, such as the Augmented Dickey-Fuller (1979), the cointegration test of Johansen (1988), the Granger-causality test within an error-correction framework (GRANGER,1986) and the long-run causality test developed by Bruneau e Jondeau (1999). The results indicate both on short and long term a unidirectional causality from the international prices of agricultural commodities to the volume of derivatives contracts, and also the absence of a causal relationship between the latter and domestic food inflation. It follows that the dominant hypothesis is the price effect, thus changes in prices in the spot market Granger cause the elevation of the use of agricultural derivatives, although the reference to the agents are the international prices. Finally, the results still show, just for the long term, a unidirectional causality of the international food inflation on the Brazilianâs, demonstrating the significance of the foreign sector in the national food prices. |
publishDate |
2012 |
dc.date.issued.fl_str_mv |
2012-04-24 |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
status_str |
publishedVersion |
format |
masterThesis |
dc.identifier.uri.fl_str_mv |
http://www.teses.ufc.br/tde_busca/arquivo.php?codArquivo=9351 |
url |
http://www.teses.ufc.br/tde_busca/arquivo.php?codArquivo=9351 |
dc.language.iso.fl_str_mv |
por |
language |
por |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
Universidade Federal do Cearà |
dc.publisher.program.fl_str_mv |
Programa de PÃs-GraduaÃÃo em Economia - CAEN |
dc.publisher.initials.fl_str_mv |
UFC |
dc.publisher.country.fl_str_mv |
BR |
publisher.none.fl_str_mv |
Universidade Federal do Cearà |
dc.source.none.fl_str_mv |
reponame:Biblioteca Digital de Teses e Dissertações da UFC instname:Universidade Federal do Ceará instacron:UFC |
reponame_str |
Biblioteca Digital de Teses e Dissertações da UFC |
collection |
Biblioteca Digital de Teses e Dissertações da UFC |
instname_str |
Universidade Federal do Ceará |
instacron_str |
UFC |
institution |
UFC |
repository.name.fl_str_mv |
-
|
repository.mail.fl_str_mv |
mail@mail.com |
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1643295171019800576 |