O efeito do câmbio sobre os preços dos alimentos no atacado e varejo

Detalhes bibliográficos
Autor(a) principal: Vilela, Joelmir Divino Carlos Feliciano
Data de Publicação: 2022
Tipo de documento: Tese
Idioma: por
Título da fonte: Repositório Institucional da UFG
Texto Completo: http://repositorio.bc.ufg.br/tede/handle/tede/12330
Resumo: This doctoral dissertation analyzes whether exchange rate variations in the USDollar/ Brazilian Real exchange rate influence food prices at the wholesale and retail level. For the analysis of price transmission, the Engle-Granger Cointegration, VEC, TAR and MTAR Models and the Granger Causality Test were used, and for the risk transmission analysis, the BEKK Model was used. The results of the analysis for the price transmission indicated that: (i) the USDollar/Brazilian Real exchange rate and food prices are cointegrated, concluding that there is a long-term equilibrium relationship between them; (ii) the MCE presented the parameters that correct the short-term imbalance relationship to its long-term equilibrium value between the US-Dollar/Brazilian Real exchange rate and food prices; (iii) the TAR and MTAR Models indicated that the USDollar/Brazilian Real exchange rate and food prices are cointegrated and the transmission of prices between them occurs symmetrically; (iv) the Granger Causality Test indicated that the US-Dollar/Brazilian Real exchange rate influences food prices. Finally, the results analyzed for risk transmission indicated that there is strong evidence that the variability of the USDollar/Brazilian Real exchange rate transmits risks to food prices, both via shocks and viavolatilities.
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spelling Figueiredo, Reginaldo Santanahttp://lattes.cnpq.br/1098394550647665Figueiredo, Reginaldo SantanaWander, Alcido ElenorMedrano, Luis Alberto ToscanoMenezes, José Elmo deOliveira Neto, Odilon José dehttp://lattes.cnpq.br/9370657808740578Vilela, Joelmir Divino Carlos Feliciano2022-09-21T12:48:12Z2022-09-21T12:48:12Z2022-09-02FELICIANO, J. D. C. O efeito do câmbio sobre os preços dos alimentos no atacado e varejo. 2022. 166 f. Tese (Doutorado em Agronegócio) - Universidade Federal de Goiás, Goiânia, 2022.http://repositorio.bc.ufg.br/tede/handle/tede/12330This doctoral dissertation analyzes whether exchange rate variations in the USDollar/ Brazilian Real exchange rate influence food prices at the wholesale and retail level. For the analysis of price transmission, the Engle-Granger Cointegration, VEC, TAR and MTAR Models and the Granger Causality Test were used, and for the risk transmission analysis, the BEKK Model was used. The results of the analysis for the price transmission indicated that: (i) the USDollar/Brazilian Real exchange rate and food prices are cointegrated, concluding that there is a long-term equilibrium relationship between them; (ii) the MCE presented the parameters that correct the short-term imbalance relationship to its long-term equilibrium value between the US-Dollar/Brazilian Real exchange rate and food prices; (iii) the TAR and MTAR Models indicated that the USDollar/Brazilian Real exchange rate and food prices are cointegrated and the transmission of prices between them occurs symmetrically; (iv) the Granger Causality Test indicated that the US-Dollar/Brazilian Real exchange rate influences food prices. Finally, the results analyzed for risk transmission indicated that there is strong evidence that the variability of the USDollar/Brazilian Real exchange rate transmits risks to food prices, both via shocks and viavolatilities.Esta tese de doutorado analisa empiricamente se as variações cambiais mensais da cotação do dólar influenciam os preços dos alimentos no atacado e varejo. Para a análise de transmissão de preços utilizou-se a Cointegração de EngleGranger, MCE, Modelos TAR e MTAR e o Teste de Causalidade de Granger, e para a análise de transmissão de risco utilizou-se o Modelo BEKK. Os resultados das análises para a transmissão de preços assinalaram que: (i) a cotação dólar e os preços dos alimentos são cointegrados concluindo-se, que existe uma relação de equilíbrio de longo prazo entre eles; (ii) o MCE apresentou os parâmetros que corrigem a relação de desequilíbrio de curto prazo para seu valor de equilíbrio de longo prazo entre a cotação do dólar e os preços dos alimentos; (iii) os Modelos TAR e MTAR indicaram que a cotação do dólar e os preços dos alimentos são cointegrados e a transmissão de preços entre eles ocorrem de maneira simétrica; (iv) o Teste de Causalidade de Granger indicou que a cotação do dólar influencia os preços dos alimentos. Por fim, os resultados analisados para a transmissão de risco indicaram que existem fortes evidências de que a variabilidade da cotação do dólar transmite riscos para os preços dos alimentos, tanto via choques, quanto via volatilidades.Submitted by Leandro Machado (leandromachado@ufg.br) on 2022-09-20T17:09:56Z No. of bitstreams: 2 Tese - Joelmir Divino Carlos Feliciano Vilela​ - 2022.pdf: 1561726 bytes, checksum: c3cdae821d29f228be36c5240c0ff2d4 (MD5) license_rdf: 805 bytes, checksum: 4460e5956bc1d1639be9ae6146a50347 (MD5)Approved for entry into archive by Luciana Ferreira (lucgeral@gmail.com) on 2022-09-21T12:48:12Z (GMT) No. of bitstreams: 2 Tese - Joelmir Divino Carlos Feliciano Vilela​ - 2022.pdf: 1561726 bytes, checksum: c3cdae821d29f228be36c5240c0ff2d4 (MD5) license_rdf: 805 bytes, checksum: 4460e5956bc1d1639be9ae6146a50347 (MD5)Made available in DSpace on 2022-09-21T12:48:12Z (GMT). No. of bitstreams: 2 Tese - Joelmir Divino Carlos Feliciano Vilela​ - 2022.pdf: 1561726 bytes, checksum: c3cdae821d29f228be36c5240c0ff2d4 (MD5) license_rdf: 805 bytes, checksum: 4460e5956bc1d1639be9ae6146a50347 (MD5) Previous issue date: 2022-09-02porUniversidade Federal de GoiásPrograma de Pós-graduação em Agronegócio (EA)UFGBrasilEscola de Agronomia - EA (RG)Attribution-NonCommercial-NoDerivatives 4.0 Internationalhttp://creativecommons.org/licenses/by-nc-nd/4.0/info:eu-repo/semantics/openAccessTransmissão de preçosTransmissão de volatilidadeCausalidade de GrangerPreços dos alimentosTaxa de câmbioPrice transmissionVolatility transmissionGranger causalityFood pricesExchange rateCIENCIAS AGRARIAS::AGRONOMIAO efeito do câmbio sobre os preços dos alimentos no atacado e varejoThe effect of the exchange on wholesale and retail food pricesinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/doctoralThesis45005005002151reponame:Repositório Institucional da UFGinstname:Universidade Federal de Goiás (UFG)instacron:UFGORIGINALTese - Joelmir Divino Carlos Feliciano Vilela​ - 2022.pdfTese - Joelmir Divino Carlos Feliciano Vilela​ - 2022.pdfapplication/pdf1561726http://repositorio.bc.ufg.br/tede/bitstreams/5937ca08-90bc-42de-b441-90c09e17922d/downloadc3cdae821d29f228be36c5240c0ff2d4MD53LICENSElicense.txtlicense.txttext/plain; charset=utf-81748http://repositorio.bc.ufg.br/tede/bitstreams/f20be4ea-c6f2-4396-a4d9-1e1616189adb/download8a4605be74aa9ea9d79846c1fba20a33MD51CC-LICENSElicense_rdflicense_rdfapplication/rdf+xml; charset=utf-8805http://repositorio.bc.ufg.br/tede/bitstreams/72035199-0017-463f-a648-64d02472f5e6/download4460e5956bc1d1639be9ae6146a50347MD52tede/123302022-09-21 09:48:12.995http://creativecommons.org/licenses/by-nc-nd/4.0/Attribution-NonCommercial-NoDerivatives 4.0 Internationalopen.accessoai:repositorio.bc.ufg.br:tede/12330http://repositorio.bc.ufg.br/tedeRepositório InstitucionalPUBhttp://repositorio.bc.ufg.br/oai/requesttasesdissertacoes.bc@ufg.bropendoar:2022-09-21T12:48:12Repositório Institucional da UFG - Universidade Federal de Goiás (UFG)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
dc.title.pt_BR.fl_str_mv O efeito do câmbio sobre os preços dos alimentos no atacado e varejo
dc.title.alternative.eng.fl_str_mv The effect of the exchange on wholesale and retail food prices
title O efeito do câmbio sobre os preços dos alimentos no atacado e varejo
spellingShingle O efeito do câmbio sobre os preços dos alimentos no atacado e varejo
Vilela, Joelmir Divino Carlos Feliciano
Transmissão de preços
Transmissão de volatilidade
Causalidade de Granger
Preços dos alimentos
Taxa de câmbio
Price transmission
Volatility transmission
Granger causality
Food prices
Exchange rate
CIENCIAS AGRARIAS::AGRONOMIA
title_short O efeito do câmbio sobre os preços dos alimentos no atacado e varejo
title_full O efeito do câmbio sobre os preços dos alimentos no atacado e varejo
title_fullStr O efeito do câmbio sobre os preços dos alimentos no atacado e varejo
title_full_unstemmed O efeito do câmbio sobre os preços dos alimentos no atacado e varejo
title_sort O efeito do câmbio sobre os preços dos alimentos no atacado e varejo
author Vilela, Joelmir Divino Carlos Feliciano
author_facet Vilela, Joelmir Divino Carlos Feliciano
author_role author
dc.contributor.advisor1.fl_str_mv Figueiredo, Reginaldo Santana
dc.contributor.advisor1Lattes.fl_str_mv http://lattes.cnpq.br/1098394550647665
dc.contributor.referee1.fl_str_mv Figueiredo, Reginaldo Santana
dc.contributor.referee2.fl_str_mv Wander, Alcido Elenor
dc.contributor.referee3.fl_str_mv Medrano, Luis Alberto Toscano
dc.contributor.referee4.fl_str_mv Menezes, José Elmo de
dc.contributor.referee5.fl_str_mv Oliveira Neto, Odilon José de
dc.contributor.authorLattes.fl_str_mv http://lattes.cnpq.br/9370657808740578
dc.contributor.author.fl_str_mv Vilela, Joelmir Divino Carlos Feliciano
contributor_str_mv Figueiredo, Reginaldo Santana
Figueiredo, Reginaldo Santana
Wander, Alcido Elenor
Medrano, Luis Alberto Toscano
Menezes, José Elmo de
Oliveira Neto, Odilon José de
dc.subject.por.fl_str_mv Transmissão de preços
Transmissão de volatilidade
Causalidade de Granger
Preços dos alimentos
Taxa de câmbio
topic Transmissão de preços
Transmissão de volatilidade
Causalidade de Granger
Preços dos alimentos
Taxa de câmbio
Price transmission
Volatility transmission
Granger causality
Food prices
Exchange rate
CIENCIAS AGRARIAS::AGRONOMIA
dc.subject.eng.fl_str_mv Price transmission
Volatility transmission
Granger causality
Food prices
Exchange rate
dc.subject.cnpq.fl_str_mv CIENCIAS AGRARIAS::AGRONOMIA
description This doctoral dissertation analyzes whether exchange rate variations in the USDollar/ Brazilian Real exchange rate influence food prices at the wholesale and retail level. For the analysis of price transmission, the Engle-Granger Cointegration, VEC, TAR and MTAR Models and the Granger Causality Test were used, and for the risk transmission analysis, the BEKK Model was used. The results of the analysis for the price transmission indicated that: (i) the USDollar/Brazilian Real exchange rate and food prices are cointegrated, concluding that there is a long-term equilibrium relationship between them; (ii) the MCE presented the parameters that correct the short-term imbalance relationship to its long-term equilibrium value between the US-Dollar/Brazilian Real exchange rate and food prices; (iii) the TAR and MTAR Models indicated that the USDollar/Brazilian Real exchange rate and food prices are cointegrated and the transmission of prices between them occurs symmetrically; (iv) the Granger Causality Test indicated that the US-Dollar/Brazilian Real exchange rate influences food prices. Finally, the results analyzed for risk transmission indicated that there is strong evidence that the variability of the USDollar/Brazilian Real exchange rate transmits risks to food prices, both via shocks and viavolatilities.
publishDate 2022
dc.date.accessioned.fl_str_mv 2022-09-21T12:48:12Z
dc.date.available.fl_str_mv 2022-09-21T12:48:12Z
dc.date.issued.fl_str_mv 2022-09-02
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/doctoralThesis
format doctoralThesis
status_str publishedVersion
dc.identifier.citation.fl_str_mv FELICIANO, J. D. C. O efeito do câmbio sobre os preços dos alimentos no atacado e varejo. 2022. 166 f. Tese (Doutorado em Agronegócio) - Universidade Federal de Goiás, Goiânia, 2022.
dc.identifier.uri.fl_str_mv http://repositorio.bc.ufg.br/tede/handle/tede/12330
identifier_str_mv FELICIANO, J. D. C. O efeito do câmbio sobre os preços dos alimentos no atacado e varejo. 2022. 166 f. Tese (Doutorado em Agronegócio) - Universidade Federal de Goiás, Goiânia, 2022.
url http://repositorio.bc.ufg.br/tede/handle/tede/12330
dc.language.iso.fl_str_mv por
language por
dc.relation.program.fl_str_mv 4
dc.relation.confidence.fl_str_mv 500
500
500
dc.relation.department.fl_str_mv 2
dc.relation.cnpq.fl_str_mv 151
dc.rights.driver.fl_str_mv Attribution-NonCommercial-NoDerivatives 4.0 International
http://creativecommons.org/licenses/by-nc-nd/4.0/
info:eu-repo/semantics/openAccess
rights_invalid_str_mv Attribution-NonCommercial-NoDerivatives 4.0 International
http://creativecommons.org/licenses/by-nc-nd/4.0/
eu_rights_str_mv openAccess
dc.publisher.none.fl_str_mv Universidade Federal de Goiás
dc.publisher.program.fl_str_mv Programa de Pós-graduação em Agronegócio (EA)
dc.publisher.initials.fl_str_mv UFG
dc.publisher.country.fl_str_mv Brasil
dc.publisher.department.fl_str_mv Escola de Agronomia - EA (RG)
publisher.none.fl_str_mv Universidade Federal de Goiás
dc.source.none.fl_str_mv reponame:Repositório Institucional da UFG
instname:Universidade Federal de Goiás (UFG)
instacron:UFG
instname_str Universidade Federal de Goiás (UFG)
instacron_str UFG
institution UFG
reponame_str Repositório Institucional da UFG
collection Repositório Institucional da UFG
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