Economia & Região (Dec 2018)

ANALYSIS OF THE TRANSMISSION OF PRICES IN THE BEEF, MAIZE AND SOYBEAN MARKETS OF MATO GROSSO

  • Nágela Bueno dos Santos,
  • Dilamar Dallemole ,
  • José Ramos Pires Manso

DOI
https://doi.org/10.5433/2317-627X.2017v5n2p27
Journal volume & issue
Vol. 5, no. 2
pp. 7 – 21

Abstract

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The present study aimed to analyse the transmission of price between cattle, corn and soybeans markets in Mato Grosso, Brazil, in the period January/2012 to December/2015, based on a time series analysis. The application of unit root tests (Augmented Dickey-Fuller - ADF) showed evidence that the series are non-stationary in levels but are stationery in first differences. The Johansen cointegration test showed evidence in favour of the existence of a long-term relationship between prices on the spot markets of live cattle, soybeans and corn in Mato Grosso. The VECM-Vector Error Correction Model showed that SELIC rate only impacts on soybean prices and that Ibovespa Index does not significantly affects the price of corn. The variance decomposition of forecast errors showed that the soy market suffers the greatest influence among the other markets, and particularly the corn one. The impulse response analysis, IRF, showed that in general beef’s price responds negatively to shocks on corn and soybean prices while corn and soybeans react positive and reciprocally..

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