O efeito do câmbio sobre os preços dos alimentos no atacado e varejo
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2022-09-02
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Universidade Federal de Goiás
Resumo
This doctoral dissertation analyzes whether exchange rate variations in the USDollar/ Brazilian Real exchange rate influence food prices at the wholesale and
retail level. For the analysis of price transmission, the Engle-Granger
Cointegration, VEC, TAR and MTAR Models and the Granger Causality Test were
used, and for the risk transmission analysis, the BEKK Model was used. The
results of the analysis for the price transmission indicated that: (i) the USDollar/Brazilian Real exchange rate and food prices are cointegrated, concluding
that there is a long-term equilibrium relationship between them; (ii) the MCE
presented the parameters that correct the short-term imbalance relationship to
its long-term equilibrium value between the US-Dollar/Brazilian Real exchange
rate and food prices; (iii) the TAR and MTAR Models indicated that the USDollar/Brazilian Real exchange rate and food prices are cointegrated and the
transmission of prices between them occurs symmetrically; (iv) the Granger
Causality Test indicated that the US-Dollar/Brazilian Real exchange rate
influences food prices. Finally, the results analyzed for risk transmission
indicated that there is strong evidence that the variability of the USDollar/Brazilian Real exchange rate transmits risks to food prices, both via
shocks and viavolatilities.
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Citação
FELICIANO, J. D. C. O efeito do câmbio sobre os preços dos alimentos no atacado e varejo. 2022. 166 f. Tese (Doutorado em Agronegócio) - Universidade Federal de Goiás, Goiânia, 2022.