Measuring the Brazilian ethanol and gasoline market efficiency using DFA-Hurst and fractal dimension

S.A. David, C.M.C. Inácio, Derick Quintino and J.A.T. Machado

Energy Economics, 2020, vol. 85, issue C

Abstract: The ethanol and petroleum represent important energy commodities. Brazil is one of the world's largest producers of ethanol and became one of the ten largest global oil explorers in 2018. This paper proposes the Detrended Fluctuation Analysis (DFA), Hurst exponent (H) and fractal dimension (D) to investigate the dynamic behavior of ethanol and gasoline prices series in Brazil. Furthermore, a new market efficiency measure, namely the Efficiency Index (EI), is also proposed. Some on-going change toward a more efficient market in the follow-up of an institutional political change is analyzed. The data series are obtained from the National Agency of Petroleum and the Natural Gas and Biofuels (ANP). Weekly spot prices are used for time windows covering two periods. The first period (P1) precedes the Brazilian presidential impeachment occurred in 2016 and includes data from January/2011 to December/2015. The second (P2) addresses the period from July/2016 to July/2018, covering the post-impeachment scenario, with new government policies in the energy sector. The results indicate a subtle path toward market efficiency for the ethanol and a clear moving toward better efficiency for the gasoline market after changes in the fuel policy of Brazil. Moreover, the H and D indices prove to be useful tools for tackling the price dynamics of the fuel market, and to build the new measure EI.

Keywords: Fuel prices policy; Energy; Fractional modelling; Fractal dimension (search for similar items in EconPapers)
JEL-codes: C02 G14 Q40 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0140988319304098
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:85:y:2020:i:c:s0140988319304098

DOI: 10.1016/j.eneco.2019.104614

Access Statistics for this article

Energy Economics is currently edited by R. S. J. Tol, Beng Ang, Lance Bachmeier, Perry Sadorsky, Ugur Soytas and J. P. Weyant

More articles in Energy Economics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().