Measuring the Brazilian ethanol and gasoline market efficiency using DFA-Hurst and fractal dimension

David, Sérgio Adriani; Inacio, C.M.C.; Quintino, Derick David; Machado, J. A. Tenreiro

doi:10.1016/j.eneco.2019.104614

Cited by 34 publications

(20 citation statements)

References 50 publications

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“…Despite the importance of both countries in the global supply of ethanol, recent studies have focused only on their local markets, analyzing the dynamics of ethanol prices 7–12 . Ethanol markets in Brazil and the USA are interconnected due to trade (Debnath et al ., 13 2017), and 90% of imported Brazilian ethanol comes from the USA (Castañeda‐Ayarza and Godoi, 14 2020), implying that deeper analysis of the topic is relevant, to understand the connections between the markets.…”

Section: Introductionmentioning

confidence: 99%

Relationship between US and Brazilian ethanol prices: new evidence based on fractal regressions

Quintino

Cantarinha

Ferreira

2021

Biofuels Bioprod Bioref

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Two different fractal regression methodologies were employed with the aim of understanding the relationship between prices of ethanol produced in the USA and Brazil, the most important producers of ethanol. These methodologies, which have the advantage of giving us information about the relationships between different timescales, could also provide interesting and important information about this particular market. Our results suggest, first, some differences in the basic price in these markets, and second, a positive relationship between prices (as expected) but not a one‐to‐one relationship. © 2021 Society of Chemical Industry and John Wiley & Sons, Ltd

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Section: Introductionmentioning

confidence: 99%

Relationship between US and Brazilian ethanol prices: new evidence based on fractal regressions

Quintino

Cantarinha

Ferreira

2021

Biofuels Bioprod Bioref

View full text Add to dashboard Cite

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“…One possible explanation concerns the phenomenon observed in several energy markets around the world, known as the "rocket and feathers effect" (Bacon, 1991). The lorry-driver crisis caused a reduction in the supply of fuels, with prices rising very quickly, but in the case of gasoline and ethanol prices, it caused only temporary effects, which were quickly attenuated in terms of efficiency (David et al 2020). We can also observe that the dynamics of the series is similar between the 5 regions analyzed, that is, the differences are more related to the level of each series, since the movements between them suggest great synchronism.…”

Section: Resultsmentioning

confidence: 99%

“…Our analysis, focused on the Brazilian situation, covers the period between 2nd January 2010 and 25th April 2020, with three moments of special interest: i) the period following impeachment of the Brazilian president, Dilma Roussef, occurring in August 2016, with implications for the country's fuel price policy; ii) the lorry-driver crisis of May 2018, which caused a powerful shock in the Brazilian economy; iii) the emergence of Covid-19, which had an impact on the global economy. Regarding the first two periods, David et al (2020) analyzed the efficiency of gasoline and ethanol prices in Brazil. We extend the analysis, increasing the sample and allowing for analysis of the first impacts of the Covid-19 crisis on diesel prices.…”

Section: Introductionmentioning

confidence: 99%

Diesel prices in Brazil: A dynamic fractional integration analysis

Quintino

Ferreira

2021

Econ Bus Lett

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We investigate the behaviour of retail diesel prices in Brazil using fractional integration, with weekly data from January 2010 to April 2020. In this period, we have 3 episodes of relevant economic implications in the country under analysis: i) impeachment of the Brazilian President; ii) the lorry-drivers’ strike; iii) the rise of the global Covid-19 epidemic. We use a sliding windows approach to analyze price dynamics over time. The results suggest that, at the beginning of the sample, prices were non-stationary and non-mean reverting but over the time results changed in the different regions. Results are relevant for market agents and policy-makers, as it can be inferred whether exogenous shocks are temporary, despite taking some time to dissipate completely.

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“…Between these periods, in addition to the change in the orientation of economic policy, there was a change in the behaviour of fuel prices in Brazil due to the new pricing policy of Petrobras, as highlighted by David et al (2020).…”

Section: Datamentioning

confidence: 99%

Cross-Correlations in Meat Prices in Brazil: A Non-Linear Approach Using Different Time Scales

2021

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Brazil is one of the world’s largest producers and exporters of cattle, chicken and swine. Therefore, co-movements of Brazilian meat prices are important for both domestic and foreign stakeholders. We propose to analyse the cross-correlation between meat prices in Brazil, namely, cattle, swine and chicken, including also in the analysis information from some commodities, namely maize, soya beans, oil, and the Brazilian exchange rate. Our sample covers the recent period which coincided with extensive macroeconomic and institutional changes in Brazil, from 2011 to 2020, and is divided in two periods: (i) presidential pre-impeachment (P1), occurring in August 2016, and; (ii) post-impeachment (P2). Our results indicate that in P1, only the prices of swine and chicken showed a positive and strong correlation over time, and that cattle showed some positive correlation with chicken only in the short run. In P2, there was also a positive and consistent correlation between swine and chicken, and only a positive association with swine and cattle in the long run. For more spaced time scales (days), the changes in the degree of correlation were significant only in the long run for swine and cattle.

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Measuring the Brazilian ethanol and gasoline market efficiency using DFA-Hurst and fractal dimension

Cited by 34 publications

References 50 publications

Relationship between US and Brazilian ethanol prices: new evidence based on fractal regressions

Relationship between US and Brazilian ethanol prices: new evidence based on fractal regressions

Diesel prices in Brazil: A dynamic fractional integration analysis

Cross-Correlations in Meat Prices in Brazil: A Non-Linear Approach Using Different Time Scales

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