COVID-19 INFLUENCE OVER BRAZILIAN AGRICULTURAL COMMODITIES AND DOLLAR–REAL EXCHANGE

Kerolly Kedma Felix Do Nascimento, Fã Bio Sandro Dos Santos (), Kellyma Kellyashin Felix Do Nascimento (), Kenikywaynne Kerowaynne Felix Do Nascimento (), FERNANDO ALVES XAVIER JÚNIOR Silvio (), Jader Silva Jale () and Tiago A. E. Ferreira ()
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Kerolly Kedma Felix Do Nascimento: Department of Statistics and Informatics, Federal Rural University of Pernambuco, Rua Dom Manoel de Medeiros s/n, Dois Irmãos 52171-900, Recife/PE, Brazil
Fã Bio Sandro Dos Santos: Department of Statistics and Informatics, Federal Rural University of Pernambuco, Rua Dom Manoel de Medeiros s/n, Dois Irmãos 52171-900, Recife/PE, Brazil
Kellyma Kellyashin Felix Do Nascimento: ��Federal Institute of Paraíba, Campus Sousa (São Gonçalo), Rua Pedro Antunes s/n, São Gonçalo 58814-000, São Gonçalo Sousa/PB, Brazil
Kenikywaynne Kerowaynne Felix Do Nascimento: ��Federal Institute of Paraíba, Campus Sousa (São Gonçalo), Rua Pedro Antunes s/n, São Gonçalo 58814-000, São Gonçalo Sousa/PB, Brazil
FERNANDO ALVES XAVIER JÚNIOR Silvio: ��Department of Statistics, State University of Paraíba, Rua Baraúnas No. 351, Bodocongó, Campina Grande/PB 58109-753, Campina Grande, Paraíba, Brazil
Jader Silva Jale: Department of Statistics and Informatics, Federal Rural University of Pernambuco, Rua Dom Manoel de Medeiros s/n, Dois Irmãos 52171-900, Recife/PE, Brazil
Tiago A. E. Ferreira: Department of Statistics and Informatics, Federal Rural University of Pernambuco, Rua Dom Manoel de Medeiros s/n, Dois Irmãos 52171-900, Recife/PE, Brazil

FRACTALS (fractals), 2022, vol. 30, issue 06, 1-10

Abstract: This study evaluates the Brazilian agricultural commodities market and the dollar–real exchange price variation using the multifractal detrended fluctuations analysis methodology. We investigated the period from January 1, 2019 to September 25, 2019, outside the COVID-19 pandemic, and from January 1, 2020 to September 25, 2020, during the COVID-19 pandemic. We verified the fluctuations of commodities and dollar–real exchange prices during the pandemic caused by COVID-19 showed a record price. The results of Hurst exponent and multifractal parameters α0, w, and r indicate that during the COVID-19 pandemic, sugar was the most efficient commodity, while pork the less one. Compared to the identical months in 2019, the dollar–real exchange was the most efficient market, while ethanol was the least efficient.

Keywords: Brazilian Commodities; COVID-19; MFDFA; Efficiency; Pandemic Period; Parameters (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:wsi:fracta:v:30:y:2022:i:06:n:s0218348x22501006

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DOI: 10.1142/S0218348X22501006

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