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Relações De Preços Nos Mercados Interno E Internacional De Soja E Derivados

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  • DIEHL, DAIANE
  • BACCHI, MIRIAN RUMENOS PIEDADE
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    Abstract

    O objetivo deste trabalho foi identificar relações causais e estimar elasticidades de transmissão entre preços de soja, farelo e óleo nos mercados interno e externo e entre os preços desses produtos no mercado interno. Para tanto, foram utilizadas seis séries de dados semanais, obtidas a partir de séries diárias de preços, para o período de 2000 a 2004. Para as cotações internas do preço da soja em grão, farelo e óleo, utilizou-se os indicadores de preços levantados pelo CEPEA (Centro de Estudos Avançados em Economia Aplicada/ESALQ/USP) e, para as cotações externas, os valores do primeiro vencimento do contrato futuro negociado na Bolsa de Chicago (CBOT). Os procedimentos econométricos realizados incluíram critérios de Akaike (AIC) e Schwarz (SC), testes de raiz unitária, testes de co-integração, correlação cruzada e análise de regressão. Foram observadas relações causais no caso do farelo e do óleo, sendo que os preços internos são antecipados pelos preços externos, com variações transmitidas com até uma semana de defasagem. No caso da soja em grão, não se observou relação causal entre os preços interno e externo. No mercado interno, foram observadas relações bicausais entre os preços do grão e do farelo.

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    Bibliographic Info

    Paper provided by Sociedade Brasileira de Economia, Administracao e Sociologia Rural (SOBER) in its series 44th Congress, July 23-27, 2006, Fortaleza, Ceará, Brazil with number 148203.

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    Date of creation: 2006
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    Handle: RePEc:ags:sobr06:148203

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    Related research

    Keywords: soja; comercialização; relações de preços; Crop Production/Industries; Demand and Price Analysis;

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    1. Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-38, July.
    2. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June.
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