Integração e transmissão de preços entre os mercados de trigo argentino e internacional

Daniel Coronel, Airton Lopes Amorim, Eliane Pinheiro de Sousa and Joao Eustaquio de Lima

No 114463, Working Papers in Applied Economics from Universidade Federal de Vicosa, Departamento de Economia Rural

Abstract: The aim of this paper is to check if there is a relation between the wheat prices of the Argentinian and the International market, if these markets are integrated in space. For that, it was used as time reference the period from January, 1994 to April, 2009. Unit root tests, Granger causality, Johansen cointegration, estimation of the impulse response function, decomposition of error variation and estimation and analysis of the error correction model were used. The results indicated that variations in the international prices of wheat were almost completely transmitted for the run long. However, it is not possible to affirm that the Argentinian and the International markets are perfectly integrated even if they have a higher transmission of prices This is because the hypothesis of perfect integration between the markets is rejected when restrictions were imposed to the coefficients related to the long run. It was also noticed through the exogeneity test that the Argentinian wheat prices react to transient imbalances occurred in prices from the international market. Therefore, wheat prices in international markets affect the price levels in Argentina.

Keywords: Demand and Price Analysis; International Relations/Trade (search for similar items in EconPapers)
Pages: 29
Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:ags:ufvdwp:114463

DOI: 10.22004/ag.econ.114463

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