Transmissão de Preços e Cointegração no Mercado Brasileiro de Arroz

The aim of this study is to evaluate the dynamics of pricing in the domestic market of paddy rice in order to define the process of prices formation and the adjustment intensity (periods in which the price transmission occurs) among the major producing markets (Rio Grande do Sul and Mato Grosso states). The knowledge of price ratios between markets is important for the development of trading contracts (fixed-term and future contracts) for rice and for the formulation (or reformulation) of public policies for the sector. As a methodological tool, we used the modeling of time series (Auto-Regression Models with Vector Error Correction - VEC) and Granger’s causality. The Granger’s causality test indicated that prices in the Rio Grande do Sul state are important to forecast prices in the Mato Grosso state. The model of transference estimated with an error correction term showed that for each 1% of increase in the growth rate for the RS prices, the growth rate of prices in MT will have, on average, a contemporaneous high of 0.44%, and around 0.17% in the following month.

Issue Date:
Mar 30 2011
Publication Type:
Journal Article
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Published in:
Brazilian Journal of Rural Economy and Sociology (Revista de Economia e Sociologia Rural-RESR), Volume 49, Number 1
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