Price volatility transmissions between brazilian agricultural commodities

Abstract

This paper verified the price volatility transmissions among Brazilian agricultural commodities, more specifically ethanol, sugar, and soybeans. Daily data between January 25, 2010, and December 28, 2018, from CEPEA, were used. Initially, an error correction vector model was estimated to filter the series of their long term relationship and then model their respective volatilities without the interference of co-movement between the averages of prices using the multivariate generalized autoregressive conditioned heteroscedasticity Baba-Engle-Kraft-Kroner model were applied. The results suggest that the prices of ethanol, soybeans, and sugar are both related to the long-term equilibrium and short-term equilibrium dynamics. However, it is not able to conclude that there is volatility spillover among the analyzed prices. Therefore, the concerning with ethanol as a source of food prices instability is not justified according to the results.