Dependência extrema entre os preços de petróleo e dos alimentos: contribuições à análise das estimações dos modelos marginais e modelos cópula

• Autor(a) principal: ESPINHEIRA, Pedro Torreão
• Data de Publicação: 2016
• Tipo de documento: Dissertação
• Idioma: por
• Título da fonte: Biblioteca Digital de Teses e Dissertações da UNIFACS
• Texto Completo: http://teste.tede.unifacs.br:8080/tede/handle/tede/479
• topic: Petróleo; Commodities; Interdependência; Valor em Risco; CoVar; Ciências Sociais Aplicadas

The present paper has the purpose of analyzing the interdependence of extreme movements in the oil and food prices, using the risk transmission measure called CoVaR, by means of the estimate analysis of the marginal models and copula models. The analysis considers each of the agriculture commodities studied, observing how the oil price variations influence the production and price of these commodities. The starting point is the hypothesis of the existence of correlation among the series, and that the oil price fluctuation is associated to the food price fluctuation. The results demonstrate that the price trends of three among the six products studied are significantly influenced by the oil price trend. For this reason, the analysis of the consequences of the variations in these prices by the agricultural investors and producers is of fundamental importance. The reasons that some commodities were tightly affected by the spillover effect of extreme oil shocks, while others were not, should be the subject of further studies, as well as the impacts of extreme oil peaks on agriculture commodities. We also suggest similar studies on regional agriculture commodities, specifically in the markets of the State of Bahia. The study characterized the co-movement between oil and the prices of commodities using the copula function, obtaining the extreme impacts oil price oil on the movements in the prices of commodities for the period of March 17, 2006 to March 11, 2016. The sample was limited to the WTI weekly oil prices and the six Brazilian commodities: Sugar, Rice, Beef, Coffee, Corn and Soybean. The results evidenced strong price coupling between oil and the commodities: Coffee, Corn and Soybeans, and for the remaining items the impacts were insignificant.