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

Autor(es)

David, S. A. ^[1] ; Inacio, Jr., C. M. C. ^[1] ; Quintino, D. D. ^[2] ; Machado, J. A. T. ^[3]

Afiliação do(s) autor(es)

^[1] Univ Sao Paulo, Dept Biosyst Engn, BR-13635900 Pirassununga, SP - Brazil

^[2] Univ Sao Paulo, Dept Econ Adm & Sociol, BR-13418900 Piracicaba, SP - Brazil

^[3] Polytech Porto, Inst Engn, Rua Dr Antonio B Almeida, P-431424901 Porto - Portugal

• Tipo de documento: Artigo Científico
• Fonte: ENERGY ECONOMICS; v. 85, JAN 2020.
• Citações Web of Science: 0

Resumo

The ethanol and petroleum represent important energy commodities. Brazil is one of the world's largest producers of ethanol and became one of the ten largest global oil explorers in 2018. This paper proposes the Detrended Fluctuation Analysis (DFA), Hurst exponent (H) and fractal dimension (D) to investigate the dynamic behavior of ethanol and gasoline prices series in Brazil. Furthermore, a new market efficiency measure, namely the Efficiency Index (EI), is also proposed. Some on-going change toward a more efficient market in the follow-up of an institutional political change is analyzed. The data series are obtained from the National Agency of Petroleum and the Natural Gas and Biofuels (ANP). Weekly spot prices are used for time windows covering two periods. The first period (P-1) precedes the Brazilian presidential impeachment occurred in 2016 and includes data from January/2011 to December/2015. The second (P-2) addresses the period from July/2016 to July/2018, covering the post-impeachment scenario, with new government policies in the energy sector. The results indicate a subtle path toward market efficiency for the ethanol and a clear moving toward better efficiency for the gasoline market after changes in the fuel policy of Brazil. Moreover, the H and D indices prove to be useful tools for tackling the price dynamics of the fuel market, and to build the new measure EI. (C) 2019 Elsevier B.V. All rights reserved. (AU)

• Processo FAPESP: 17/15517-0 - Comportamento dinâmico, no âmbito fracionário, das séries de preços de commodities agrícolas vis a vis os preços do etanol
• Beneficiário: Claudio Marcio Cassela Inacio Junior
• Modalidade de apoio: Bolsas no Brasil - Iniciação Científica
• Processo FAPESP: 17/13815-3 - Dinâmica fracionária das séries de preços do etanol no Brasil
• Beneficiário: Sergio Adriani David
• Modalidade de apoio: Auxílio à Pesquisa - Programa BIOEN - Regular