Análise da volatilidade e transmissão de preços entre os mercados internacionais de petróleo e soja

Abstract

The growing importance of biofuels in the world energy matrix has introduced a new issue of theoretical and empirical relevance, namely the increasingly close relation between prices of a growing number of commodities involved in energy production, a subject of high relevance for both agribusiness and energy organizations. This paper analyzed the relation both in terms of volatility and of price transmission among international prices for two commodities, crude oil and soybean grain, for the period between january -1980 and october - 2010. It was carried out time series econometrics procedures like ADF testing, Granger causality, Johansen Cointegration, Exogeneity, Vector Error Correction (VEC) model, Forecast Error Variance Decomposition, and Impulse Response Function. It also was evaluated the variance analysis of the series using Multivariate GARCH model. The results indicate absence of relation among these variables in the short term, whereas in the long term, the variations in international oil prices are transferred less than proportionally to soybean prices. Volatilities are affected by shocks lagged of one month.