English, Article, Journal or magazine article edition: TRANSMISSÃO DE PREÇOS NO MERCADO INTERNACIONAL DA SOJA: UMA ABORDAGEM PELOS MODELOS ARMAX E VAR Osvaldo Cândido da Silva Filho; Bruno Ferreira Frascaroli; Sinézio Fernandes Maia

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Bookmark: http://trove.nla.gov.au/version/123307
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • TRANSMISSÃO DE PREÇOS NO MERCADO INTERNACIONAL DA SOJA: UMA ABORDAGEM PELOS MODELOS ARMAX E VAR
Author
  • Osvaldo Cândido da Silva Filho
  • Bruno Ferreira Frascaroli
  • Sinézio Fernandes Maia
Physical Description
  • preprint
Notes
  • This work focuses the international market of soybean through the price relationships kept by these. Was chosen two models of time series: ARMAX and VAR. These models have a good performance in explaining simultaneity relationships among phenomena because they are multivariate models. The justification for use this instrumentals comes from the own concentration of the international market, where, in agreement with previous works, it is taken individually into account the market slice corresponding to each producing country. Was considered each model evaluating the parameters of transmission of prices among the price of commodity of american soybean for each category of product of domestic market: the domestic soybean and yours derived acted by the soybean oil and the soybean bran. The estimates like indicate a positive correlation among the prices in different magnitude to each individual market. Tests of unitary root were accomplished, of causality of GRANGER and cointegration tests in order to verify if there is a long run relationship among the variables. The response impulse function and the decomposition of residues variance were also estimated, for the verification of price of commodity of american soybean influence degree for each category of product of the domestic market.
  • RePEc:anp:en2005:145
Language
  • English
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