CAUSALIDADE E ELASTICIDADE NA TRANSMISSÃO DE PREÇO DO BOI GORDO ENTRE REGIÕES DO BRASIL E A BOLSA DE MERCADORIAS & FUTUROS (BM&F)

• Main Authors: Gaio, Luiz Eduardo, Castro Junior, Luiz Gonzaga de, Oliveira, Andre Ribeiro de
• Format: Journal Article
• Language: English
• Published: 01.09.2005
• Subjects: beef market; causality; Demand and Price Analysis; Livestock Production/Industries; price transmission elasticity

This study analyzes the transmission elasticity and the price causality of beef, between BM&F and important places in Brazil,seeking data referring to the intensity of price transmission and detecting the existent relations between beef price in these places andin BM&F. Studies in several regions were realized, using daily price data in a period comprehended between 2000 and 2004. Thestudied cities were Araçatuba (SP), Barretos (SP), Bauru (SP), Presidente Prudente (SP), Noroeste do Paraná (PR), Três Lagoas (MS),Campo Grande (MS), Triângulo Mineiro (MG), Dourados (GO), Goiânia (GO) and Cuiabá (MT). The results of the Dickey-FullerAugmented (DFA) unit root test show that all price series are integrated of first order, I(1). The results of the Johansen co-integrationtest suggest that all series are co-integrated. It can be concludedm thus, that the beef markets are spatially integrated , which meansthat supply and demand shocks in BM&F affect the beef prices in the other markets. Another outcome of this research, resulting fromthe estimation of an error correction model and the application of the Granger causality test, is that the BM&F Granger-causes theprices in the other regions. Now with the price transmission elasticity verify that its elasticity maintains around 1, turning in someplace as elastic as inelastic. Therefore, the results of this research suggest that the Brazilian beef market is efficient, since informationhas flowed rapidly among the market agents, allowing arbitrage and the Law of One Price to work properly.