Transmissão e volatilidade de preços das commodities agrícolas

Detalhes bibliográficos
Autor(a) principal: Moratoya, Elsie Estela
Data de Publicação: 2014
Tipo de documento: Dissertação
Idioma: por
Título da fonte: Repositório Institucional da UFG
dARK ID: ark:/38995/0013000006vct
Texto Completo: http://repositorio.bc.ufg.br/tede/handle/tede/3381
Resumo: This study presents an empirical analysis of price and volatility transmission for soybean and corn prices, between an international market, represented by the Chicago Board of Trade, and four domestic markets in Brazil: State of Goiás, Mato Grosso, Paraná and Rio Grande do Sul. Daily soybean and corn prices were collected for the period January, 2008 to June 2013 from the Centre for Advanced Studies in Applied Economics and the Institute of Agricultural Economics in Brazil. Henceforth, returns for the nominal price series were calculated and logaritmized for a preliminary to assess the behavior of the series, in which all were found to be integrated of order (1). Furthermore, the international market and domestic markets were found to be highly correlated. Co-movement and price transmission speed for both crops in all domestic markets and international market were measured using the Johansen cointegration test and the error correction model. Empirical results for the soybean prices presented the state of Rio Grande do Sul as the market that more rapidly adjusts to international market prices, at a rate of speed of 55%. Soybean prices in the state of Goiás corrected at a rate of 40%, Mato Grosso at a rate of 46%, and Paraná at a rate of speed of 55%. In terms of corn prices, the state of Goiás was the first to arrive at equilibrium with those of CBOT, at a rate of speed of 1.12%. Corn prices in the state of Mato Grosso corrected at a rate of 0.67% and Paraná and Rio Grande do Sul at a rate of 0.83%. Volatility transmission was determined with the use of a lower triangular GARCH - BECK model and the Impulse Response Function. The results showed that, in the case of soybean prices, the state of Goiás was the only one that presents no evidence of volatility transmission. Evidence of volatility transmission was found from CBOT to Mato Grosso, Parana to CBOT and bi-directional transmission between CBOT and Parana. Furthermore, results of the impulse response function show that a shock in the international soybean prices on prices of the State of Goiás did not normalize within a period of twenty four months. Other domestic markets showed a tendency to stabilize on an average of twenty months. In the case of corn prices, evidence of bi-directional volatility transmission was found between CBOT prices and Goias, Mato Grosso and Parana. Volatility transmission was unidirectional for Rio Grande do Sul and CBOT. The reaction to a shock in prices in the international market showed that the persistence of the shock in the domestic markets lasted an average of ten days before normalizing. The results show that price and volatility transmission between the domestic markets for the commodities analyzed and CBOT do exist and new information within the individual markets play a bigger role on returns volatility than new information from CBOT.
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spelling Figueiredo, Reginaldo Santanahttp://lattes.cnpq.br/1098394550647665Figueiredo, Reginaldo SantanaOliveira Neto, Odilon José deCunha, Cleyzer Adrian dahttp://lattes.cnpq.br/3223121951897010Moratoya, Elsie Estela2014-10-20T16:16:54Z2014-02-28MORATOYA, Elsie Estela. Transmissão e volatilidade de preços das commodities agrícolas. 2014. 90 f. Dissertação (Mestrado em Agronegócio) - Universidade Federal de Goiás, Goiânia, 2014.http://repositorio.bc.ufg.br/tede/handle/tede/3381ark:/38995/0013000006vctThis study presents an empirical analysis of price and volatility transmission for soybean and corn prices, between an international market, represented by the Chicago Board of Trade, and four domestic markets in Brazil: State of Goiás, Mato Grosso, Paraná and Rio Grande do Sul. Daily soybean and corn prices were collected for the period January, 2008 to June 2013 from the Centre for Advanced Studies in Applied Economics and the Institute of Agricultural Economics in Brazil. Henceforth, returns for the nominal price series were calculated and logaritmized for a preliminary to assess the behavior of the series, in which all were found to be integrated of order (1). Furthermore, the international market and domestic markets were found to be highly correlated. Co-movement and price transmission speed for both crops in all domestic markets and international market were measured using the Johansen cointegration test and the error correction model. Empirical results for the soybean prices presented the state of Rio Grande do Sul as the market that more rapidly adjusts to international market prices, at a rate of speed of 55%. Soybean prices in the state of Goiás corrected at a rate of 40%, Mato Grosso at a rate of 46%, and Paraná at a rate of speed of 55%. In terms of corn prices, the state of Goiás was the first to arrive at equilibrium with those of CBOT, at a rate of speed of 1.12%. Corn prices in the state of Mato Grosso corrected at a rate of 0.67% and Paraná and Rio Grande do Sul at a rate of 0.83%. Volatility transmission was determined with the use of a lower triangular GARCH - BECK model and the Impulse Response Function. The results showed that, in the case of soybean prices, the state of Goiás was the only one that presents no evidence of volatility transmission. Evidence of volatility transmission was found from CBOT to Mato Grosso, Parana to CBOT and bi-directional transmission between CBOT and Parana. Furthermore, results of the impulse response function show that a shock in the international soybean prices on prices of the State of Goiás did not normalize within a period of twenty four months. Other domestic markets showed a tendency to stabilize on an average of twenty months. In the case of corn prices, evidence of bi-directional volatility transmission was found between CBOT prices and Goias, Mato Grosso and Parana. Volatility transmission was unidirectional for Rio Grande do Sul and CBOT. The reaction to a shock in prices in the international market showed that the persistence of the shock in the domestic markets lasted an average of ten days before normalizing. The results show that price and volatility transmission between the domestic markets for the commodities analyzed and CBOT do exist and new information within the individual markets play a bigger role on returns volatility than new information from CBOT.Este estudo apresenta uma análise empírica de transmissão de preços e de volatilidade nos preços da soja e do milho entre o mercado internacional, representado pela CBOT, e quatro mercados domésticos no Brasil: o Estado de Goiás, Mato Grosso, Paraná e Rio Grande do Sul. Para isso, foram selecionados os preços diários da soja e do milho, para o período entre janeiro de 2008 e junho de 2013. Os preços foram obtidos junto ao Centro de Estudos Avançados de Economia Aplicada e o Instituto de Economia Agrícola; em seguida, foram convertidos em retornos e logaritimizados para as análises. Posteriormente, foi feita uma análise preliminar dos preços nominais para avaliar o comportamento das séries temporais, em que foi verificada a estacionariedade de ordem (1) para todas as séries de preços. Foi também constatada uma alta correlação entre o mercado internacional e os mercados domésticos. O comovimento e a velocidade da transmissão dos preços foram estimados mediante o uso do teste de cointegração de Johansen e o modelo de correção de erros. Os resultados apontaram uma cointegração entre os mercados domésticos e o mercado internacional para as duas culturas. Os resultados empíricos dos testes para os preços da soja mostraram que o Estado do Rio Grande do Sul é o mercado que mais rapidamente se ajusta e se equilíbra com os preços da CBOT, numa velocidade de 55%. Os preços da soja no Estado de Goiás se ajustam a uma velocidade de 40%, o de Mato Grosso a uma velocidade de 46%, e o Paraná a uma velocidade de 55%. Quanto aos preços do milho, o Estado de Goiás é o que mais rapidamente se equilibra com os preços da CBOT, com uma velocidade de 1,12%. Os preços do Mato Grosso se corrigem a uma velocidade do 0,67% e os mercados do Paraná e Rio Grande do Sul a uma velocidade de 0,83%. A análise empírica da transmissão de volatilidade foi estimada pelo uso do modelo GARCH-BECK triangular inferior. Os resultados para a soja apontam que o mercado do Estado de Goiás foi o único que não apresentou evidência de transmissão de volatilidade. Existência de transmissão de volatilidade foi encontrado da CBOT para Mato Grosso, do Paraná para CBOT, e bidirecional entre Rio Grande do Sul e CBOT. Além disso, os resultados da Função Resposta ao Impulso mostram que um choque do mercado internacional no mercado do Estado de Goiás não chega à estabilidade em um período de vinte e quatro meses. Os outros mercados domésticos mostraram uma tendência de se estabilizar, em média, a partir de vinte meses. No caso do milho, foram encontradas evidências de transmissão de volatilidade bidirecional nos Estados de Goiás, Mato Grosso e Paraná, e transmissão unidirecional de Rio Grande do Sul para CBOT. A reação a um choque da CBOT mostra que a persistência do choque nos mercados domésticos leva, em média, dez dias para se estabilizar. Portanto, os resultados mostram que existe transmissão de preços e de volatilidade entre os mercados domésticos para os commodities analisados com a CBOT, além do que as novas informações dos proprios mercados possuem maior papel na volatilidade dos retornos que das informações da CBOT.Submitted by Jaqueline Silva (jtas29@gmail.com) on 2014-10-20T16:16:37Z No. of bitstreams: 2 Dissertação - Elsie Estela Moratoya - 2014.PDF: 1759354 bytes, checksum: c262cfaeef59e283285f32b837fdee16 (MD5) license_rdf: 23148 bytes, checksum: 9da0b6dfac957114c6a7714714b86306 (MD5)Approved for entry into archive by Jaqueline Silva (jtas29@gmail.com) on 2014-10-20T16:16:54Z (GMT) No. of bitstreams: 2 Dissertação - Elsie Estela Moratoya - 2014.PDF: 1759354 bytes, checksum: c262cfaeef59e283285f32b837fdee16 (MD5) license_rdf: 23148 bytes, checksum: 9da0b6dfac957114c6a7714714b86306 (MD5)Made available in DSpace on 2014-10-20T16:16:54Z (GMT). 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dc.title.por.fl_str_mv Transmissão e volatilidade de preços das commodities agrícolas
dc.title.alternative.eng.fl_str_mv Price transmission and volatility for agricultural commodities: soybean and corn
title Transmissão e volatilidade de preços das commodities agrícolas
spellingShingle Transmissão e volatilidade de preços das commodities agrícolas
Moratoya, Elsie Estela
Commodities
Transmissão de preços
Transmissão de volatilidade
Commodities
Price transmission
Volatility transmission
CIENCIAS AGRARIAS::AGRONOMIA
title_short Transmissão e volatilidade de preços das commodities agrícolas
title_full Transmissão e volatilidade de preços das commodities agrícolas
title_fullStr Transmissão e volatilidade de preços das commodities agrícolas
title_full_unstemmed Transmissão e volatilidade de preços das commodities agrícolas
title_sort Transmissão e volatilidade de preços das commodities agrícolas
author Moratoya, Elsie Estela
author_facet Moratoya, Elsie Estela
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 Oliveira Neto, Odilon José de
dc.contributor.referee3.fl_str_mv Cunha, Cleyzer Adrian da
dc.contributor.authorLattes.fl_str_mv http://lattes.cnpq.br/3223121951897010
dc.contributor.author.fl_str_mv Moratoya, Elsie Estela
contributor_str_mv Figueiredo, Reginaldo Santana
Figueiredo, Reginaldo Santana
Oliveira Neto, Odilon José de
Cunha, Cleyzer Adrian da
dc.subject.por.fl_str_mv Commodities
Transmissão de preços
Transmissão de volatilidade
topic Commodities
Transmissão de preços
Transmissão de volatilidade
Commodities
Price transmission
Volatility transmission
CIENCIAS AGRARIAS::AGRONOMIA
dc.subject.eng.fl_str_mv Commodities
Price transmission
Volatility transmission
dc.subject.cnpq.fl_str_mv CIENCIAS AGRARIAS::AGRONOMIA
description This study presents an empirical analysis of price and volatility transmission for soybean and corn prices, between an international market, represented by the Chicago Board of Trade, and four domestic markets in Brazil: State of Goiás, Mato Grosso, Paraná and Rio Grande do Sul. Daily soybean and corn prices were collected for the period January, 2008 to June 2013 from the Centre for Advanced Studies in Applied Economics and the Institute of Agricultural Economics in Brazil. Henceforth, returns for the nominal price series were calculated and logaritmized for a preliminary to assess the behavior of the series, in which all were found to be integrated of order (1). Furthermore, the international market and domestic markets were found to be highly correlated. Co-movement and price transmission speed for both crops in all domestic markets and international market were measured using the Johansen cointegration test and the error correction model. Empirical results for the soybean prices presented the state of Rio Grande do Sul as the market that more rapidly adjusts to international market prices, at a rate of speed of 55%. Soybean prices in the state of Goiás corrected at a rate of 40%, Mato Grosso at a rate of 46%, and Paraná at a rate of speed of 55%. In terms of corn prices, the state of Goiás was the first to arrive at equilibrium with those of CBOT, at a rate of speed of 1.12%. Corn prices in the state of Mato Grosso corrected at a rate of 0.67% and Paraná and Rio Grande do Sul at a rate of 0.83%. Volatility transmission was determined with the use of a lower triangular GARCH - BECK model and the Impulse Response Function. The results showed that, in the case of soybean prices, the state of Goiás was the only one that presents no evidence of volatility transmission. Evidence of volatility transmission was found from CBOT to Mato Grosso, Parana to CBOT and bi-directional transmission between CBOT and Parana. Furthermore, results of the impulse response function show that a shock in the international soybean prices on prices of the State of Goiás did not normalize within a period of twenty four months. Other domestic markets showed a tendency to stabilize on an average of twenty months. In the case of corn prices, evidence of bi-directional volatility transmission was found between CBOT prices and Goias, Mato Grosso and Parana. Volatility transmission was unidirectional for Rio Grande do Sul and CBOT. The reaction to a shock in prices in the international market showed that the persistence of the shock in the domestic markets lasted an average of ten days before normalizing. The results show that price and volatility transmission between the domestic markets for the commodities analyzed and CBOT do exist and new information within the individual markets play a bigger role on returns volatility than new information from CBOT.
publishDate 2014
dc.date.accessioned.fl_str_mv 2014-10-20T16:16:54Z
dc.date.issued.fl_str_mv 2014-02-28
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.citation.fl_str_mv MORATOYA, Elsie Estela. Transmissão e volatilidade de preços das commodities agrícolas. 2014. 90 f. Dissertação (Mestrado em Agronegócio) - Universidade Federal de Goiás, Goiânia, 2014.
dc.identifier.uri.fl_str_mv http://repositorio.bc.ufg.br/tede/handle/tede/3381
dc.identifier.dark.fl_str_mv ark:/38995/0013000006vct
identifier_str_mv MORATOYA, Elsie Estela. Transmissão e volatilidade de preços das commodities agrícolas. 2014. 90 f. Dissertação (Mestrado em Agronegócio) - Universidade Federal de Goiás, Goiânia, 2014.
ark:/38995/0013000006vct
url http://repositorio.bc.ufg.br/tede/handle/tede/3381
dc.language.iso.fl_str_mv por
language por
dc.relation.program.fl_str_mv 745174713188878137
dc.relation.confidence.fl_str_mv 600
600
600
dc.relation.department.fl_str_mv 4500684695727928426
dc.relation.cnpq.fl_str_mv -3091138714907603907
dc.rights.driver.fl_str_mv http://creativecommons.org/licenses/by-nc-nd/4.0/
info:eu-repo/semantics/openAccess
rights_invalid_str_mv http://creativecommons.org/licenses/by-nc-nd/4.0/
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Universidade Federal de Goiás
dc.publisher.program.fl_str_mv Programa de Pós-graduação em Agronegocio (EAEA)
dc.publisher.initials.fl_str_mv UFG
dc.publisher.country.fl_str_mv Brasil
dc.publisher.department.fl_str_mv Escola de Agronomia e Engenharia de Alimentos - EAEA (RG)
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