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APLICAÇÃO DO MODELO ARIMA À PREVISÃO DO PREÇO DAS COMMODITIES AGRÍCOLAS BRASILEIRAS

Pablo Aurelio Lacerda De Almeida Pinto, Elenildes Santana Pereira, Marianne Costa Oliveira, Jose Marcio Dos Santos and Sinezio Fernandes Maia

No 109197, 46th Congress, July 20-23, 2008, Rio Branco, Acre, Brasil from Sociedade Brasileira de Economia, Administracao e Sociologia Rural (SOBER)

Abstract: Atualmente as commodities representam uma significativa parcela do Produto Interno Brasileiro. Entretanto, o volume exportado pode sofrer influência significativa pelo preço apresentado no cenário internacional, alterando sensivelmente a remuneração do produtor. Dentro deste contexto, o presente trabalho se propõe a analisar o comportamento dos preços recebidos pelo produtor das principais commodities agrícola brasileiras: cacau, café, cana de açúcar, laranja e soja. Para tanto, procurou-se realizar uma previsão ex-ante para os preços destes produtos a partir da metodologia ARIMA. Os resultados obtidos fornecem uma ferramenta de análise para o mercado destas commodities, na medida em que demonstram a tendência dos preços para um horizonte de curto prazo, servindo de auxílio à tomada de decisão de agentes que comercializam estes bens.-------------------------------------------------Actually the commodities represent one significant part of the Brazilian GIP. However the exported volume may suffer significant influence in reason of the price presented by the international scenario, changing sensitively the producer remuneration. Inside of this context, the present paper proposes to analyze the behavior of the received prices by the producer of the main Brazilian agricultural commodities: soy beans, coffee, sugar, orange and cacao. To reach that goal, it was searched to realize one prevision ex-ante for the prices of those products by the ARIMA methodology. The results obtained, give one analyses tool for the markets of those commodities, in the direction which demonstrates the tendency of prices to a short-run horizon, serving as relief to the decision making of the agents which commercialize those goods.

Keywords: Modelagem ARIMA; Preços agrícolas; Commodities; ARIMA Modeling; agricultural prices; International Relations/Trade (search for similar items in EconPapers)
Date: 2008-07
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