Integração de preços nas principais praças de comercialização do milho em grão no Brasil

Abstract

The paper examines the integration of prices in the Brazilian corn-grain market, considering the transaction costs. Daily grain prices were analyzed from January 2009 to December 2016, in the physical markets of Sorriso (MT), Dourados (MS), Paranaguá and Cascavel (PR), Rio Verde (GO), Passo Fundo (RS), Triângulo Mineiro (MG) and Campinas (SP). The methodology consisted of the unit root test, Johansen cointegration, estimation of the vector error correction model with threshold (TVEC), two regimes. The results indicate that Campinas has a long-term equilibrium relation with the other markets and the estimation of the TVEC model confirms the presence of a threshold. In addition, the threshold parameters indicate the existence of transaction costs in the interrelations between prices. So that a price shock resulting from excess demand in Campinas, for example, exceeds 1.22%; 1.45%; 1.26%; 0.9%; 1.27%; 1.03% and 1.39% promote a price adjustment in Cascavel, Dourados, Paranaguá, Passo Fundo, Rio Verde, Sorriso and Triângulo Mineiro, respectively.