Revista de Economia e Sociologia Rural
https://revistasober.org/article/doi/10.1590/1806-9479.2020.193763
Revista de Economia e Sociologia Rural
ARTIGO ORIGINAL

Transmissões de volatilidade de preços entre Commodities agrícolas brasileiras

Price volatility transmissions between brazilian agricultural Commodities

João Carlos de Carvalho; Lucca Simeoni Pavan; Marcos Minoru Hasegawa

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Resumo

Neste artigo, buscou-se estudar as transmissões de volatilidade de preços entre commodities agrícolas brasileiras, mais especificamente o etanol, o açúcar e a soja. Fez-se o uso de dados diários entre 25 de janeiro de 2010 e 28 de dezembro de 2018, obtidos no CEPEA. Inicialmente, estimou-se um modelo de vetor de correção de erros para filtrar as séries de sua relação de longo prazo e, na sequência, modelar suas respectivas volatilidades sem a interferência do comovimento entre as médias dos preços por meio da versão multivariada do modelo de heterocedasticidade condicional autorregressivo generalizado Baba-Engle-Kraft-Kroner. Os resultados sugerem que os preços do etanol, da soja e do açúcar estão relacionados à dinâmica de equilíbrio de longo prazo e de curto prazo, mas não é possível concluir que exista transbordamento de volatilidade entre os preços analisados. Conclui-se que a preocupação com o etanol como causa da instabilidade dos preços de alimentos não pode ser justificada pelos resultados encontrados.

Palavras-chave

volatilidade, Commodities, cointegração

Abstract

This paper verified the price volatility transmissions among Brazilian agricultural commodities, more specifically ethanol, sugar, and soybeans. Daily data between January 25, 2010, and December 28, 2018, from CEPEA, were used. Initially, an error correction vector model was estimated to filter the series of their long term relationship and then model their respective volatilities without the interference of co-movement between the averages of prices using the multivariate generalized autoregressive conditioned heteroscedasticity Baba-Engle-Kraft-Kroner model were applied. The results suggest that the prices of ethanol, soybeans, and sugar are both related to the long-term equilibrium and short-term equilibrium dynamics. However, it is not able to conclude that there is volatility spillover among the analyzed prices. Therefore, the concerning with ethanol as a source of food prices instability is not justified according to the results.

Keywords

Volatility, Commodities, cointegration

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Submetido em:
03/04/2018

Aceito em:
01/08/2019

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