STUDYING THE BEHAVIOR OF ETHANOL PRICES IN SÃO PAULO: PERSISTENCE AND VOLATILITY AS A LONG MEMORY PROCESS

Detalhes bibliográficos
Autor(a) principal: Silva, Cleiton Roberto da Fonseca
Data de Publicação: 2012
Outros Autores: Maia, Sinézio Fernandes
Tipo de documento: Artigo
Idioma: por
Título da fonte: Análise Econômica (Online)
Texto Completo: https://seer.ufrgs.br/index.php/AnaliseEconomica/article/view/22990
Resumo: This article studied the volatility of hydrated ethanol in São Paulo for 2000/2011 period. The application of ARCH models, as well as the consideration of price series of ethanol as a process of a long memory in both the mean and conditional variance allowed to estimate the degree of persistence in volatility shocks. The analysis supports the government’s concern with the high degree of persistence in volatility, and encourages the depth of the discussion around formation of buffer stocks. The results corroborate the theory advocated by Ipea (2010) that the consolidation of flex-fuel cars helped to foster price stability and indicates that the post crisis is characterized by a higher persistence of volatility; the level shown this period is lower than before 2004, when the flex-fuel cars did not encourage market impacts.
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spelling STUDYING THE BEHAVIOR OF ETHANOL PRICES IN SÃO PAULO: PERSISTENCE AND VOLATILITY AS A LONG MEMORY PROCESSESTUDANDO O COMPORTAMENTO DOS PREÇOS DO ETANOL NO ESTADO DE SÃO PAULO: PERSISTÊNCIA E VOLATILIDADE COMO UM PROCESSO DE LONGA MEMÓRIAEtanolVolatilidadeCommoditiesC22Q11Q42EthanolVolatilityCommoditiesC22Q11Q42This article studied the volatility of hydrated ethanol in São Paulo for 2000/2011 period. The application of ARCH models, as well as the consideration of price series of ethanol as a process of a long memory in both the mean and conditional variance allowed to estimate the degree of persistence in volatility shocks. The analysis supports the government’s concern with the high degree of persistence in volatility, and encourages the depth of the discussion around formation of buffer stocks. The results corroborate the theory advocated by Ipea (2010) that the consolidation of flex-fuel cars helped to foster price stability and indicates that the post crisis is characterized by a higher persistence of volatility; the level shown this period is lower than before 2004, when the flex-fuel cars did not encourage market impacts.Esse artigo estudou a volatilidade dos preços do etanol hidratado no estado de São Paulo durante o período 2000/2011. A aplicação de modelos da família ARCH, bem como a consideração da série de preços do etanol como um processo de longa memória tanto na média quanto na variância condicional permitiu estimar o grau de persistência aos choques promovidos na volatilidade dos preços desse produto. A análise geral legitima a preocupação do governo com o alto grau de persistência na volatilidade e incentiva o aprofundamento da discussão em torno da formação de estoques reguladores. Os resultados corroboram ainda a teoria defendida pelo Ipea (2010) segundo a qual a consolidação dos carros flex-fuel ajudou a promover a estabilidade dos preços e indica que, embora o período pós-crise seja caracterizado por uma maior persistência da volatilidade, o patamar apresentado nesse período é inferior aquele evidenciado antes de 2004, quando os carros flex-fuel não promoviam impacto no mercado.UFRGS2012-12-07info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfhttps://seer.ufrgs.br/index.php/AnaliseEconomica/article/view/2299010.22456/2176-5456.22990Análise Econômica; Vol. 30 No. 58 (2012): setembro de 2012Análise Econômica; v. 30 n. 58 (2012): setembro de 20122176-54560102-9924reponame:Análise Econômica (Online)instname:Universidade Federal do Rio Grande do Sul (UFRGS)instacron:UFRGSporhttps://seer.ufrgs.br/index.php/AnaliseEconomica/article/view/22990/23422Copyright (c) 2019 Análise Econômicainfo:eu-repo/semantics/openAccessSilva, Cleiton Roberto da FonsecaMaia, Sinézio Fernandes2013-09-13T19:32:33Zoai:seer.ufrgs.br:article/22990Revistahttps://seer.ufrgs.br/index.php/AnaliseEconomicaPUBhttps://seer.ufrgs.br/index.php/AnaliseEconomica/oai||rae@ufrgs.br2176-54560102-9924opendoar:2013-09-13T19:32:33Análise Econômica (Online) - Universidade Federal do Rio Grande do Sul (UFRGS)false
dc.title.none.fl_str_mv STUDYING THE BEHAVIOR OF ETHANOL PRICES IN SÃO PAULO: PERSISTENCE AND VOLATILITY AS A LONG MEMORY PROCESS
ESTUDANDO O COMPORTAMENTO DOS PREÇOS DO ETANOL NO ESTADO DE SÃO PAULO: PERSISTÊNCIA E VOLATILIDADE COMO UM PROCESSO DE LONGA MEMÓRIA
title STUDYING THE BEHAVIOR OF ETHANOL PRICES IN SÃO PAULO: PERSISTENCE AND VOLATILITY AS A LONG MEMORY PROCESS
spellingShingle STUDYING THE BEHAVIOR OF ETHANOL PRICES IN SÃO PAULO: PERSISTENCE AND VOLATILITY AS A LONG MEMORY PROCESS
Silva, Cleiton Roberto da Fonseca
Etanol
Volatilidade
Commodities
C22
Q11
Q42
Ethanol
Volatility
Commodities
C22
Q11
Q42
title_short STUDYING THE BEHAVIOR OF ETHANOL PRICES IN SÃO PAULO: PERSISTENCE AND VOLATILITY AS A LONG MEMORY PROCESS
title_full STUDYING THE BEHAVIOR OF ETHANOL PRICES IN SÃO PAULO: PERSISTENCE AND VOLATILITY AS A LONG MEMORY PROCESS
title_fullStr STUDYING THE BEHAVIOR OF ETHANOL PRICES IN SÃO PAULO: PERSISTENCE AND VOLATILITY AS A LONG MEMORY PROCESS
title_full_unstemmed STUDYING THE BEHAVIOR OF ETHANOL PRICES IN SÃO PAULO: PERSISTENCE AND VOLATILITY AS A LONG MEMORY PROCESS
title_sort STUDYING THE BEHAVIOR OF ETHANOL PRICES IN SÃO PAULO: PERSISTENCE AND VOLATILITY AS A LONG MEMORY PROCESS
author Silva, Cleiton Roberto da Fonseca
author_facet Silva, Cleiton Roberto da Fonseca
Maia, Sinézio Fernandes
author_role author
author2 Maia, Sinézio Fernandes
author2_role author
dc.contributor.author.fl_str_mv Silva, Cleiton Roberto da Fonseca
Maia, Sinézio Fernandes
dc.subject.por.fl_str_mv Etanol
Volatilidade
Commodities
C22
Q11
Q42
Ethanol
Volatility
Commodities
C22
Q11
Q42
topic Etanol
Volatilidade
Commodities
C22
Q11
Q42
Ethanol
Volatility
Commodities
C22
Q11
Q42
description This article studied the volatility of hydrated ethanol in São Paulo for 2000/2011 period. The application of ARCH models, as well as the consideration of price series of ethanol as a process of a long memory in both the mean and conditional variance allowed to estimate the degree of persistence in volatility shocks. The analysis supports the government’s concern with the high degree of persistence in volatility, and encourages the depth of the discussion around formation of buffer stocks. The results corroborate the theory advocated by Ipea (2010) that the consolidation of flex-fuel cars helped to foster price stability and indicates that the post crisis is characterized by a higher persistence of volatility; the level shown this period is lower than before 2004, when the flex-fuel cars did not encourage market impacts.
publishDate 2012
dc.date.none.fl_str_mv 2012-12-07
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://seer.ufrgs.br/index.php/AnaliseEconomica/article/view/22990
10.22456/2176-5456.22990
url https://seer.ufrgs.br/index.php/AnaliseEconomica/article/view/22990
identifier_str_mv 10.22456/2176-5456.22990
dc.language.iso.fl_str_mv por
language por
dc.relation.none.fl_str_mv https://seer.ufrgs.br/index.php/AnaliseEconomica/article/view/22990/23422
dc.rights.driver.fl_str_mv Copyright (c) 2019 Análise Econômica
info:eu-repo/semantics/openAccess
rights_invalid_str_mv Copyright (c) 2019 Análise Econômica
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv UFRGS
publisher.none.fl_str_mv UFRGS
dc.source.none.fl_str_mv Análise Econômica; Vol. 30 No. 58 (2012): setembro de 2012
Análise Econômica; v. 30 n. 58 (2012): setembro de 2012
2176-5456
0102-9924
reponame:Análise Econômica (Online)
instname:Universidade Federal do Rio Grande do Sul (UFRGS)
instacron:UFRGS
instname_str Universidade Federal do Rio Grande do Sul (UFRGS)
instacron_str UFRGS
institution UFRGS
reponame_str Análise Econômica (Online)
collection Análise Econômica (Online)
repository.name.fl_str_mv Análise Econômica (Online) - Universidade Federal do Rio Grande do Sul (UFRGS)
repository.mail.fl_str_mv ||rae@ufrgs.br
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