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Análise De Causalidade De Preços No Mercado Nacional E Internacional De Cacau

  • Amin, Mario Miguel
  • Seabra, Jose Alberto
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    Esta pesquisa procurou analisar o sentido de precedência (causalidade) entre os preços dos produtores de cacau do Estado do Pará, Bahia e dos preços internacionais da Bolsa de Nova Iorque, por meio do teste de causalidade de Granger. Os municípios definidos para o estudo foram Altamira, Alenquer, Cametá, Castanhal, Itaituba, Rurópolis, Santa Isabel e Tomé-Açu, no Pará, Ilhéus, na Bahia, e o mercado internacional, representado pela Bolsa de Nova Iorque. Para evitar relações espúrias, realizaram-se os testes ADF, PP, com objetivo de detectar a presença de raiz unitária, o que foi confirmado. Portanto, procedeu-se às diferenças para tornar as séries estacionárias. Os resultados obtidos mostram que existe precedência (causalidade) entre os preços dos municípios analisados e a Bolsa de Nova Iorque, com predominância de relações unidirecionais da Bolsa de Nova Iorque para os municípios do Estado do Pará e da Bahia. A causalidade, em nível regional, foi estimada, visando verificar a predominância no fluxo de informações. Os resultados indicam uma causalidade unidirecional a partir do município de Ilhéus para oito municípios produtores de cacau e uma causalidade bidirecional com o município de Tomé-Açu. A Bolsa de Nova Iorque aparece como centro de convergência das informações e importante formadora de preço, indicando, portanto, uma relação predominante unidirecional, sendo que os preços rumam da Bolsa de Nova Iorque para as demais regiões. --------------------------------------------This study analyzes the causality (precedence) between the prices of the cocoa producers in the State of Pará and the State of Bahia and the international cocoa as quoted in the New York Exchange Market (CSCE), through the Granger causality test. The selected counties, for the study, in the State of Pará were Altamira, Alenquer, Cametá, Castanhal, Itaituba, Rurópolis, Santa Izabel, Tomé-Açu and Ilhéus, in the State of Bahia. The international market represented by the New York Exchange Market (CSCE). Co-integration tests were used with the objective of identifying the long run relationships that was confirmed by the Johansen test. To avoid some spurious relations, the ADF and PP tests were applied with the objective of detecting unit roots that were also confirmed. After that, first differences were estimated to turn the series stationary. The results showed that exist causality between the counties analyzed and the New York Exchange Market (CSCE), with certain predominance for unidirectional relations: from New York to the selected counties. The causality at the regional level was estimated trying to identify the flow of information between the markets. The result indicated that exist a unidirectional flow of information from Ilheús to seven counties and a bi-directional flow with the county of Tomé-Açu. The New York Exchange Market (CSCE) appears as an important convergence center of information and price formation; there is predominant unidirectional relation flow o information from the New York Exchange Market to all producing markets.

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    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 109074.

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    Date of creation: Jul 2008
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    Handle: RePEc:ags:sbrfsr:109074
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