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Abstract

The main goal of this study was to analyze the soybean price transmission between different cities of MatoGrosso – MT, Brazil, considering the existence of transaction costs. This state was chosen due to its high production and soybeans processing capacity. In order to capture the transaction costs presence over the soybean spot price transmission in MatoGrosso, three regimes threshold models were estimated. The models Self Exciting Threshold Auto-Regressive (SETAR), described in Tong and Lim (1980), provided results with the three regimes that corroborate to the existence of a ‘neutral band’. Besides, the threshold parameters estimated appears to be significantly positively correlated with the transportation costs, which can be so much important to take decisions about price arbitrages. Furthermore, the obtained results estimated with the TVEC model do not indicate the existence of a neutral band. However, in most cases, price variations take more time to be transmitted in the intermediary regime, which indicates that TVEC model also captured the existence of transaction costs.

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