Commodities agrícolas: análise multifractal do mercado brasileiro
Autor(a) principal: | |
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Data de Publicação: | 2023 |
Tipo de documento: | Dissertação |
Idioma: | por |
Título da fonte: | Manancial - Repositório Digital da UFSM |
Texto Completo: | http://repositorio.ufsm.br/handle/1/29559 |
Resumo: | The appreciation of the dollar against the real has made consumer items more expensive and pressured inflation in Brazil, since from food to fuel and airline tickets, almost everything is influenced by the exchange rate. In this sense, it is necessary for researchers, analysts and public policy makers to be able to know the behavior of agricultural commodity prices – including the multifractal characteristics – in order to be able to apply more adequate models to make predictions and support decision-making. Therefore, this dissertation aimed to analyze whether the prices of agricultural commodities ox, coffee, corn, wheat, rice and sugar have multifractal characteristics. This investigation was carried out by applying the Multifractal Detrended Fluctuation Analysis (MF-DFA) method to the daily returns of these commodities in the period from 01/04/2010 to 01/12/2023, totaling a sample of 3215 observations, using the statistical software R. It is noteworthy that this method was chosen because it has a simple application, presents reliable results for non-stationary time series and reliably determines the multifractal scale behavior of a time series. The results showed that all studied commodities have multifractal characteristics both in real and in dollar. In more detail, all analyzed commodities showed a higher degree of multifractality in real compared to the dollar, with the exception of coffee; when comparing the degree of multifractality among all commodities only in reais, it was observed that ox stood out with the highest degree followed by wheat and, at the other extreme, coffee showed the lowest degree of multifractality. |
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Commodities agrícolas: análise multifractal do mercado brasileiroAgricultural commodities: multifractal analysis of the brazilian marketCommodities agrícolasMultifractalidadeMF-DFAAgricultural commoditiesMultifractalityCNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAOThe appreciation of the dollar against the real has made consumer items more expensive and pressured inflation in Brazil, since from food to fuel and airline tickets, almost everything is influenced by the exchange rate. In this sense, it is necessary for researchers, analysts and public policy makers to be able to know the behavior of agricultural commodity prices – including the multifractal characteristics – in order to be able to apply more adequate models to make predictions and support decision-making. Therefore, this dissertation aimed to analyze whether the prices of agricultural commodities ox, coffee, corn, wheat, rice and sugar have multifractal characteristics. This investigation was carried out by applying the Multifractal Detrended Fluctuation Analysis (MF-DFA) method to the daily returns of these commodities in the period from 01/04/2010 to 01/12/2023, totaling a sample of 3215 observations, using the statistical software R. It is noteworthy that this method was chosen because it has a simple application, presents reliable results for non-stationary time series and reliably determines the multifractal scale behavior of a time series. The results showed that all studied commodities have multifractal characteristics both in real and in dollar. In more detail, all analyzed commodities showed a higher degree of multifractality in real compared to the dollar, with the exception of coffee; when comparing the degree of multifractality among all commodities only in reais, it was observed that ox stood out with the highest degree followed by wheat and, at the other extreme, coffee showed the lowest degree of multifractality.A valorização do dólar frente ao real tem encarecido os itens de consumo e pressionado a inflação no Brasil, já que desde alimentos a combustíveis e passagens aéreas, quase tudo sofre influência da taxa de câmbio. Nesse sentido, faz-se necessário que pesquisadores, analistas e formuladores de políticas públicas possam conhecer o comportamento dos preços das commodities agrícolas – inclusive quanto às características multifractais – para poderem aplicar modelos mais adequados para realizarem previsões e subsidiar as tomadas de decisões. Diante disso, a presente dissertação teve por objetivo analisar se os preços das commodities agrícolas boi, café, milho, trigo, arroz e açúcar possuem características multifractais. Esta investigação foi realizada pela aplicação do método Multifractal Detrended Fluctuation Analysis (MF-DFA) aos retornos diários dessas commodities no período de 04/01/2010 a 12/01/2023, totalizando uma amostra com 3215 observações, utilizando o software estatístico R. Vale ressaltar que a escolha deste método se deu por ele ter uma aplicação simples, apresentar resultados confiáveis para séries temporais não estacionárias e determinar com segurança o comportamento de escala multifractal de uma série temporal. Os resultados apontaram que todas as commodities estudadas possuem características multifractais tanto em real quanto em dólar. De forma mais detalhada, todas as commodities analisadas apresentaram maior grau de multifractalidade em real se comparado ao dólar, com exceção do café; quando se comparou o grau de multifractalidade entre todas as commodities apenas em real, observou-se que o boi se destacou com o maior grau seguido pelo trigo e, no outro extremo, o café se mostrou com o menor grau de multifractalidade.Universidade Federal de Santa MariaBrasilAdministraçãoUFSMPrograma de Pós-Graduação em AdministraçãoCentro de Ciências Sociais e HumanasCeretta, Paulo Sergiohttp://lattes.cnpq.br/3049029014914257Lopes, Luis Felipe DiasMilani, BrunoBezerra, Antonio Marcos2023-06-26T19:40:10Z2023-06-26T19:40:10Z2023-03-31info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://repositorio.ufsm.br/handle/1/29559porAttribution-NonCommercial-NoDerivatives 4.0 Internationalhttp://creativecommons.org/licenses/by-nc-nd/4.0/info:eu-repo/semantics/openAccessreponame:Manancial - Repositório Digital da UFSMinstname:Universidade Federal de Santa Maria (UFSM)instacron:UFSM2023-06-26T19:40:11Zoai:repositorio.ufsm.br:1/29559Biblioteca Digital de Teses e Dissertaçõeshttps://repositorio.ufsm.br/ONGhttps://repositorio.ufsm.br/oai/requestatendimento.sib@ufsm.br||tedebc@gmail.comopendoar:2023-06-26T19:40:11Manancial - Repositório Digital da UFSM - Universidade Federal de Santa Maria (UFSM)false |
dc.title.none.fl_str_mv |
Commodities agrícolas: análise multifractal do mercado brasileiro Agricultural commodities: multifractal analysis of the brazilian market |
title |
Commodities agrícolas: análise multifractal do mercado brasileiro |
spellingShingle |
Commodities agrícolas: análise multifractal do mercado brasileiro Bezerra, Antonio Marcos Commodities agrícolas Multifractalidade MF-DFA Agricultural commodities Multifractality CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO |
title_short |
Commodities agrícolas: análise multifractal do mercado brasileiro |
title_full |
Commodities agrícolas: análise multifractal do mercado brasileiro |
title_fullStr |
Commodities agrícolas: análise multifractal do mercado brasileiro |
title_full_unstemmed |
Commodities agrícolas: análise multifractal do mercado brasileiro |
title_sort |
Commodities agrícolas: análise multifractal do mercado brasileiro |
author |
Bezerra, Antonio Marcos |
author_facet |
Bezerra, Antonio Marcos |
author_role |
author |
dc.contributor.none.fl_str_mv |
Ceretta, Paulo Sergio http://lattes.cnpq.br/3049029014914257 Lopes, Luis Felipe Dias Milani, Bruno |
dc.contributor.author.fl_str_mv |
Bezerra, Antonio Marcos |
dc.subject.por.fl_str_mv |
Commodities agrícolas Multifractalidade MF-DFA Agricultural commodities Multifractality CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO |
topic |
Commodities agrícolas Multifractalidade MF-DFA Agricultural commodities Multifractality CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO |
description |
The appreciation of the dollar against the real has made consumer items more expensive and pressured inflation in Brazil, since from food to fuel and airline tickets, almost everything is influenced by the exchange rate. In this sense, it is necessary for researchers, analysts and public policy makers to be able to know the behavior of agricultural commodity prices – including the multifractal characteristics – in order to be able to apply more adequate models to make predictions and support decision-making. Therefore, this dissertation aimed to analyze whether the prices of agricultural commodities ox, coffee, corn, wheat, rice and sugar have multifractal characteristics. This investigation was carried out by applying the Multifractal Detrended Fluctuation Analysis (MF-DFA) method to the daily returns of these commodities in the period from 01/04/2010 to 01/12/2023, totaling a sample of 3215 observations, using the statistical software R. It is noteworthy that this method was chosen because it has a simple application, presents reliable results for non-stationary time series and reliably determines the multifractal scale behavior of a time series. The results showed that all studied commodities have multifractal characteristics both in real and in dollar. In more detail, all analyzed commodities showed a higher degree of multifractality in real compared to the dollar, with the exception of coffee; when comparing the degree of multifractality among all commodities only in reais, it was observed that ox stood out with the highest degree followed by wheat and, at the other extreme, coffee showed the lowest degree of multifractality. |
publishDate |
2023 |
dc.date.none.fl_str_mv |
2023-06-26T19:40:10Z 2023-06-26T19:40:10Z 2023-03-31 |
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.uri.fl_str_mv |
http://repositorio.ufsm.br/handle/1/29559 |
url |
http://repositorio.ufsm.br/handle/1/29559 |
dc.language.iso.fl_str_mv |
por |
language |
por |
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.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
Universidade Federal de Santa Maria Brasil Administração UFSM Programa de Pós-Graduação em Administração Centro de Ciências Sociais e Humanas |
publisher.none.fl_str_mv |
Universidade Federal de Santa Maria Brasil Administração UFSM Programa de Pós-Graduação em Administração Centro de Ciências Sociais e Humanas |
dc.source.none.fl_str_mv |
reponame:Manancial - Repositório Digital da UFSM instname:Universidade Federal de Santa Maria (UFSM) instacron:UFSM |
instname_str |
Universidade Federal de Santa Maria (UFSM) |
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UFSM |
institution |
UFSM |
reponame_str |
Manancial - Repositório Digital da UFSM |
collection |
Manancial - Repositório Digital da UFSM |
repository.name.fl_str_mv |
Manancial - Repositório Digital da UFSM - Universidade Federal de Santa Maria (UFSM) |
repository.mail.fl_str_mv |
atendimento.sib@ufsm.br||tedebc@gmail.com |
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1805922174905614336 |