Correlação e causalidade entre os preços de commoditiese energia [Correlation and causality between the prices of commodities and energy]

Dienice Ana Bini, Dienice Mário Duarte Canever and Anderson Antônio Denardim
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Dienice Ana Bini: ESALQ/USP
Dienice Mário Duarte Canever: UFPel
Anderson Antônio Denardim: UFSM

Nova Economia, 2015, vol. 25, issue 1, 143-160

Abstract: This paper aims to test and analyze the integration and causality of energy and agricultural commodity prices in the Brazilian context. In order to do that, econometric tests of time series analysis using monthly data, from 2000 to 2012, of the prices of crude oil, ethanol, sugar cane, corn, soybeans and the exchange rate were used. The results show that the prices of petroleum and the exchange rate are the elements most integrated into agricultural prices. The ethanol price is integrated into sugar cane, soybeans and corn prices. Furthermore, soybean prices are also integrated into sugar cane, ethanol and corn, showing that there is a complex and coordinated price mechanism in these markets in Brazil. On the other hand, the Brazilian prices (ethanol, corn and soybean) are caused, in the sense of Granger, by their American counterparts making the Brazilian commodity price formation even more complex.

Keywords: price transmission; cointegration; oil; ethanol (search for similar items in EconPapers)
JEL-codes: Q Q1 Q4 (search for similar items in EconPapers)
Date: 2015
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