A relação entre os preços de açúcar nos mercados doméstico e internacional. / Sugar price relation between international and brazil’s markets.

AUTOR(ES)
DATA DE PUBLICAÇÃO

2004

RESUMO

With more than a half of its production exported and about 30% of market share in the world sugar market, nowadays Brazil is the world’s leading exporter of sugar. So, it’s expected that the sugar physical prices in the State of São Paulo (CEPEA), Brazil´s leading production region, have any sort of relation with the international prices of this commodity. These international prices are represented by the nearby quotes of the sugar contracts at New York Board of Trade (NYBOT) and at London International Financial Futures and Options Exchange (LIFFE), both multiplied by the Brazilian currency exchange rate. The present study analyses the relations between the logarithms of the domestic and international weekly means of sugar prices. The number of auto-regressive lags necessaries to ajust models was determined by Akaike and Scharwz criterions, which objective was to test the existence of unit root. The results pointed to stationary series around deterministic trends. Through the residual data of auto-regressive univariated models that were estimated to each of the variables, it was obtained the cross correlation function (CCF) to each pair of variables to which the causality was tested. The CCF results indicated a significative contemporany relation between the variables and also causality from the international quotes to State of São Paulo domestic prices, mainly from NYBOT. Based on these results, it was obtained the number of lags of the explicative variable to specify the transmission price models between domestic and international sugar prices. To prevent multicolinearity, it was opted to not include lags of dependent variable as explicative variables, and, to skirt problems related to the correlation in the residual data in the adjusted equations, the variables were filtered by the Cochrane-Orcutt methodology, following the indicatives of the autocorrelation function (ACF) of the residual data from adjusted models in an interactive form. The elasticities obtained in the price transmission functions indicated that the past values of NYBOT quotes are reference to CEPEA prices, and that the contemporany influence between domestic and international prices is small. Considering that Brazilian share in the sugar international market is expressive, it’s expected that aspects related to Brazilian domestic market should cause any affect in the international prices level. So, to analyze the impact that Brazilian production of sugar, which defines the potential of exportation of this commodity for Brazil, has on the formation of the price in the international market, it was adjusted a function that uses as representative of the sugar price in the international market the mean of NYBOT nearby quotes between September to August (of the subsequent year). The variables international beginning stocks, Brazilian sugar production and rest of the world sugar production, all of them measured in the international sugar-marketing year, were considered as explicative ones. The results pointed that an increase in the Brazilian sugar cane production (in order to produce sugar), considering the low rates of the consumption evolution in the Brazilian domestic market, would have a negative and significant effect in the international sugar prices level. This event would affect the yield of sugar sector, not only because the sugar international price would decrease, but also because the lower prices in the international market would reduce the Brazilian domestic prices.

ASSUNTO(S)

prices açúcar cross correlation indústria sucro-alcooleira modelos em séries temporais preço comercialização trade transmissão sugar transmission model tince series

ACESSO AO ARTIGO

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