Agricultural commodities price dependence on Brazilian financial market

Yasmin Gomes Casagranda, Eduardo Luis Casarotto, Gênesis Miguel Pereira, Anderson Luís Walker Amorin, Joana Cechele Schollkopf and Giana de Vargas Mores

International Journal on Food System Dynamics, 2023, vol. 14, issue 01

Abstract: This study aims to identify whether there is dependence between agricultural commodities traded on the Brazilian market. We used the bivariate copula method over a ten-year period to assess the extreme effects on the returns of the following commodities: soybean, wheat, Arabica coffee, and Robusta coffee. The relationship directly affects the dependence between Arabica and Robusta coffees commodities. While the relationship between wheat, Arabica and Robusta coffees, and soybean is positively dependent. Economic growth, market dynamics, and the prices of an agricultural commodity tend to increase the price of other commodities.

Keywords: Agribusiness; Demand and Price Analysis (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://ageconsearch.umn.edu/record/346691/files/A ... MODITIES%20PRICE.pdf (application/pdf)

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:ags:ijofsd:346691

DOI: 10.22004/ag.econ.346691

Access Statistics for this article

More articles in International Journal on Food System Dynamics from International Center for Management, Communication, and Research Contact information at EDIRC.
Bibliographic data for series maintained by AgEcon Search ().