PRICE TRANSMISSION BETWEEN THE SUGAR AND ALCOHOLIC MARKETS IN SÃO PAULO AND PERNAMBUCO IN THE PERIOD FROM 2003 TO 2021
Keywords:
Sugar cane, Ethanol, Market integrationAbstract
Due to the importance of the sugar and alcohol market for the Brazilian economy and, above all, for the States of São Paulo and Pernambuco, the main objective of this research is to analyze how prices in the Pernambuco sugar and hydrated ethanol markets respond to shocks in sugar prices and of hydrated ethanol from São Paulo. The results obtained through the estimation of the Vector Autoregressive (VAR) methodology indicated that the prices of sugar and hydrated ethanol in the São Paulo market have a Granger causality relationship with the prices of sugar and hydrated ethanol in Pernambuco. The Variance Decomposition analysis confirmed this causal relationship and, therefore, price transmission, in the sense of prices in the sugar and alcohol market in São Paulo to prices in the sugar and alcohol market in Pernambuco. Finally, the Impulse-Response function showed that price shocks in the sugar and hydrated ethanol markets in São Paulo immediately cause, in the short term, a large change in the prices of sugar and hydrated ethanol in Pernambuco, considering a lag of maximum 12 months.Downloads
Published
2022-12-16
How to Cite
Souza, K. J. de C. e, Shikida, P. F. A., Cattelan, R., & Melo, A. de S. (2022). PRICE TRANSMISSION BETWEEN THE SUGAR AND ALCOHOLIC MARKETS IN SÃO PAULO AND PERNAMBUCO IN THE PERIOD FROM 2003 TO 2021. Revista Econômica Do Nordeste, 55(3), 136–153. Retrieved from https://bnb.gov.br/revista/ren/article/view/1550
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