Analysis of the integrated market from the main producers and consumers of coffee / AnÃlise de integraÃÃo de mercado dos principais paÃses produtores e consumidores de cafÃ
AUTOR(ES)
Chrystian Teixeira Rocha
DATA DE PUBLICAÇÃO
2009
RESUMO
This study analyses the space integration among the prices of coffee from the main producing countries (Brazil, Vietnam, Colombia, Mexico and Ethiopia) and consuming ones (United States, German, Japan, Italy and France) of the world. As data were used monthly series of paying prices to producing countries and paying prices from consuming countries in US$ cents/libra peso, supplied by ICO (International Coffee Organization), from January 1982 to January 2008. Were used a statistics software âRâ to realize the data analysis. To avoid informal relations were realized Dickey-Fuller Unit-Root tests raised (ADF) and from Phillips Peron (PP) and the results showed that all the time series are Non-Stationary and present the same order of integration, order 1, I(1). Next were discussed the Phillps-Ouliaris Co-Integration test among the series and the results showed that only 29% of the 45 resulting pairs of the combination of ten countries of the study presented relation of equilibrium of long term, as well, are co integrated. By the end were realized a Granger causality test, with the objective of checking the orientation of the transmission of the market prices, and verify the relations of short term, and the results showed that in 34% of the 90 resulting pairs of the combination from the ten countries of the study there was unidirectional causality. It leads to conclude that the information and the market situation of coffee are transmitted in partially inefficient way because doesnât reach, in a efficient way, all the main producing and consuming countries of coffee of the world.
ASSUNTO(S)
causalidade de granger transmition of price co-integration transmissÃo de preÃo administracao cointegraÃÃo granger causality
ACESSO AO ARTIGO
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