CAUSALIDADE E ELASTICIDADE NA TRANSMISSÃO DE PREÇO DO BOI GORDO ENTRE REGIÕES DO BRASIL E A BOLSA DE MERCADORIAS & FUTUROS (BM&F)

This study analyzes the transmission elasticity and the price causality of beef, between BM&F and important places in Brazil, seeking data referring to the intensity of price transmission and detecting the existent relations between beef price in these places and in BM&F. Studies in several regions were realized, using daily price data in a period comprehended between 2000 and 2004. The studied cities were Araçatuba (SP), Barretos (SP), Bauru (SP), Presidente Prudente (SP), Noroeste do Paraná (PR), Três Lagoas (MS), Campo Grande (MS), Triângulo Mineiro (MG), Dourados (GO), Goiânia (GO) and Cuiabá (MT). The results of the Dickey-Fuller Augmented (DFA) unit root test show that all price series are integrated of first order, I(1). The results of the Johansen co-integration test suggest that all series are co-integrated. It can be concludedm thus, that the beef markets are spatially integrated , which means that supply and demand shocks in BM&F affect the beef prices in the other markets. Another outcome of this research, resulting from the estimation of an error correction model and the application of the Granger causality test, is that the BM&F Granger-causes the prices in the other regions. Now with the price transmission elasticity verify that its elasticity maintains around 1, turning in some place as elastic as inelastic. Therefore, the results of this research suggest that the Brazilian beef market is efficient, since information has flowed rapidly among the market agents, allowing arbitrage and the Law of One Price to work properly.


Variant title:
Causality and elasticity in the price transmission of beef between places in Brazil and Brazilian Mercantile & Futures Exchange (BM&F)
Issue Date:
Sep 01 2005
Publication Type:
Journal Article
PURL Identifier:
http://purl.umn.edu/43924
Published in:
Organizações Rurais e Agroindustriais/Rural and Agro-Industrial Organizations, Volume 07, Number 3
Page range:
282-297
Total Pages:
16




 Record created 2017-04-01, last modified 2017-08-25

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