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Cross-correlation analysis on Brazilian gasoline retail market

A.S. Nascimento Filho, Eder Johnson de Area Pereira, Paulo Ferreira (), T.B. Murari and M.A. Moret

Physica A: Statistical Mechanics and its Applications, 2018, vol. 508, issue C, 550-557

Abstract: In this paper we investigate the cross-correlations between Brazilian gasoline retail markets in fifteen capitals. The hypothesis that is not expected any strong cross-correlation or anti cross-correlation between these markets was tested by applying the multi-scale cross correlation analysis in the of Average Retail Margin of gasoline type C. Our empirical results support a significant cross-correlation value between three capitals of Southeast region for both short-term and long-term, regardless of time scale (weeks). Moreover, São Paulo–Belo Horizonte and São Paulo–Rio de Janeiro pairs presented strong correlation from time scale of thirty three weeks. And also São Paulo market seems exerts some regional influence in the Average Retail Margin behaviors. The main contribution is that cross-correlations results have importance in terms of taking decisions for investors as well as for Brazilian energy policies.

Keywords: Fuel; Average Retail Margin; Tacit collusion (search for similar items in EconPapers)
Date: 2018
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Handle: RePEc:eee:phsmap:v:508:y:2018:i:c:p:550-557