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Transmissão De Preços No Mercado Internacional Da Soja: Uma Abordagem Pelos Modelos Armax E Var

Author

Listed:
  • Osvaldo Cândido da Silva Filho
  • Bruno Ferreira Frascaroli
  • Sinézio Fernandes Maia

Abstract

This work focuses the international market of soybean through the price relationships kept by these. Was chosen two models of time series: ARMAX and VAR. These models have a good performance in explaining simultaneity relationships among phenomena because they are multivariate models. The justification for use this instrumentals comes from the own concentration of the international market, where, in agreement with previous works, it is taken individually into account the market slice corresponding to each producing country. Was considered each model evaluating the parameters of transmission of prices among the price of commodity of american soybean for each category of product of domestic market: the domestic soybean and yours derived acted by the soybean oil and the soybean bran. The estimates like indicate a positive correlation among the prices in different magnitude to each individual market. Tests of unitary root were accomplished, of causality of GRANGER and cointegration tests in order to verify if there is a long run relationship among the variables. The response impulse function and the decomposition of residues variance were also estimated, for the verification of price of commodity of american soybean influence degree for each category of product of the domestic market.

Suggested Citation

  • Osvaldo Cândido da Silva Filho & Bruno Ferreira Frascaroli & Sinézio Fernandes Maia, 2005. "Transmissão De Preços No Mercado Internacional Da Soja: Uma Abordagem Pelos Modelos Armax E Var," Anais do XXXIII Encontro Nacional de Economia [Proceedings of the 33rd Brazilian Economics Meeting] 145, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    • Handle: RePEc:anp:en2005:145
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    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
    • Q10 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - General

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