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O Impacto Da Volatilidade Nos Preços Recebidos Pelos Produtores Do Café No Mercado Internacional

Author

Listed:
  • Amin, Mario Miguel
  • Monte, Leila Fatima
  • Correia, Alessandro De Castro
  • Santos, Danielle Cristina Gonzaga Dos

Abstract

A análise da volatilidade nos preços recebidos pelos produtores do café no mercado internacional demonstrou a instabilidade na renda dos produtores no Brasil, Índia, Colômbia, México e Etiópia. Esta instabilidade, decorrente da persistência e do agrupamento da volatilidade foi observada através da mensuração empírica dos modelos econométricos GARCH. O teste ARCH caracterizou todas as séries de preços do café como heteroscedástica, ou seja, os retornos do café apresentaram sinais de autocorrelação, que em termos econômicos significa acentuadas flutuações dos preços em torno da média. A análise empírica dos modelos GARCH (1,1) e EGARCH (1,1) mostrou para a série de retornos do café no Brasil e Etiópia a existência da persistência e assimetria da volatilidade. A somatória dos coeficientes de reação (ARCH) e de persistência (GARCH) resultou em valores muito próximo de 1 para essas duas séries, indicando riscos e incertezas em relação ao retorno do café. Diferentes resultados foram encontrados para as séries da Colômbia e do México, onde a somatória dos coeficientes foi maior que 1, indicando que a persistência da volatilidade se perdurará por longos períodos nas séries em questão. Através dos resultados obtidos foi possível observar que a volatilidade nos preços do café afeta a renda do produtor no mercado. Isto se deve, principalmente, aos constantes desequilíbrios entre a demanda e a oferta do produto no mercado internacional.---------------------------------------------The analysis of volatility in the prices received by producers of coffee in the international market has demonstrated the instability in the income of producers in Brazil, India, Colombia, Mexico and Ethiopia. This instability, arising from the persistence of volatility in the group was observed by empirical measurement of econometric models GARCH. The test ARCH characterized all series of prices of coffee as heteroscedástica, or the returns of coffee showed signs of autocorrelation, which in economic terms means sharp price fluctuations around the average. The empirical analysis of the models GARCH (1,1) and (1,1) showed EGARCH for the number of returns of coffee in Brazil and Ethiopia persistence and the existence of the asymmetry of volatility. The sum of the coefficients of reaction (ARCH) and persistence (GARCH) resulted in values very close to 1 for these two series, indicating risks and uncertainties with respect to the return of coffee. Different results were found for the series of Colombia and Mexico, where the sum of the coefficients was greater than 1, indicating that the persistence of volatility if prihodnje for long periods in the series in question. Through the results was observed that the volatility in the prices of coffee affects the income of the producer in the market. This is due, mainly, to the constant imbalance between the demand and supply of the product in the international market.

Suggested Citation

  • Amin, Mario Miguel & Monte, Leila Fatima & Correia, Alessandro De Castro & Santos, Danielle Cristina Gonzaga Dos, 2008. "O Impacto Da Volatilidade Nos Preços Recebidos Pelos Produtores Do Café No Mercado Internacional," 46th Congress, July 20-23, 2008, Rio Branco, Acre, Brasil 112834, Sociedade Brasileira de Economia, Administracao e Sociologia Rural (SOBER).
  • Handle: RePEc:ags:sbrfsr:112834
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