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Transmissão de preços do algodão nos mercados interno e externo

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  • Sousa, Eliane Pinheiro de
  • Campos, Antonio Carvalho
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    Abstract

    O artigo pretende verificar a relação entre os preços internos e externos no mercado de algodão, buscando testar se a Lei do Preço Único foi válida nesse mercado, no período de julho de 1996 a janeiro de 2008. Utilizaram-se dados mensais extraídos do Centro de Estudos Avançados em Economia Aplicada (CEPEA) da ESALQ / USP e da Fundação Getúlio Vargas – FGVDADOS. A metodologia adotada é constituída pelo teste de raiz unitária, pelo teste de co-integração de Johansen, pela estimação da função impulso-resposta, pela decomposição da variância dos erros de previsão e pela estimação e análise do modelo vetorial de correção de erro (VEC). Os resultados mostraram que as variações nos preços internacionais do algodão foram completamente transmitidas para o mercado doméstico, no longo prazo, ou seja, na ausência de restrições. No entanto, não se pode afirmar que esses mercados sejam perfeitamente integrados, tendo em vista que a hipótese de perfeita integração entre os mercados foi rejeitada quando foram impostas restrições no coeficiente de relacionamento de longo prazo. Desta forma, a Lei do Preço Único não foi perfeitamente verificada para o mercado de algodão, no período analisado.-----------------------------------------------This article intends to verify the relationship between the internal and external prices in the cotton markets in order to test the validity of the Law of One Price over the July, 1996 to January, 2008 period. Monthly data were extracted from the Center of Advanced Studies for Applied Economy (CEPEA) of ESALQ / USP and from the Getúlio Vargas Foundation-FGVDADOS. The time series tests included the tests for unitary root, and Johansen´s co-integration. Besides, the analytical framework also includes impulse-response function, the decomposition of the variance of the forecasting error and the vector error correction model (VEC). The results showed that the long-run variations in the international prices of the cotton were fully transmitted to the domestic market. However, under constraints, the domestic and foreign markets are not perfectly integrated. Thus, these findings rejected the hypothesis of perfect integration between these markets. Therefore, the Law of One Price is not perfectly verified for the cotton markets in that period.

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    Bibliographic Info

    Paper provided by Sociedade Brasileira de Economia, Administracao e Sociologia Rural (SOBER) in its series 46th Congress, July 20-23, 2008, Rio Branco, Acre, Brasil with number 108619.

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    Date of creation: Jul 2008
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    Handle: RePEc:ags:sbrfsr:108619

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    Web page: http://www.sober.org.br/
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    Related research

    Keywords: transmissão de preços; Lei do Preço Único; mercados de algodão; transmission of prices; Law of One Price; cotton markets; Crop Production/Industries; Demand and Price Analysis;

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