Agricultural commodities prices and volatility behavior in the recent period

• Grant number: 13/18827-9
• Support Opportunities: Scholarships abroad - Research
• Start date: August 01, 2014
• End date: July 31, 2015
• Field of knowledge: Applied Social Sciences - Economics
• Principal Investigator: Rodrigo Lanna Franco da Silveira
• Grantee: Rodrigo Lanna Franco da Silveira
• Host Investigator: Fabio L. Mattos
• Host Institution: Instituto de Economia (IE). Universidade Estadual de Campinas (UNICAMP). Campinas , SP, Brazil
• Institution abroad: University of Nebraska-Lincoln (UNL), United States

Abstract

The second half of 2000 had shown a rise in the prices and volatility of agricultural commodities as a result of overlapping factors such as structural, cyclical and financial. In this context, this project aims to analyze the price and volatility behavior of the main agricultural commodities produced in Brazil. The specific objectives are based on the study of the existence of structural change in the dynamics of price oscillations, the influence of futures contract trading on the commodity prices volatility, the long-term relationship and link between domestic and international prices and the impact of harvest estimates announcement on the commodity prices volatility. In order to achieve these goals, econometric techniques, involving unit root tests, cointegration analysis, Granger causality tests, VAR models, conditional volatility models will be used. (AU)