Análises dos testes de cointegração e de correção de erro dos preços do café e do cacau no mercado internacional de futuros e opções

Abstract

In this paper is examined the pro-perties of individuals time series of theprices of the coffee and cocoa in the in-ternational market, by means of owedtests, regard to stationarity and tests forunit roots. The distinction between long-run and short-run characteristics in timeseries has attracted much attention inthe last decades. Long-run characteris-tics in economic and financial date areusually associated with non-stationaritytime series and called trends, whereasshort-run fluctuations are stationarytime series and are called cycles. Econo-mic and financial time series can be vi-ewed as combinations of these compo-nents of trend and cycles. Moreover, theexistence of common factors among twoor more time series may have such thatthe combination of these time series demonstrates no features which the individual time series possess. There could be a common trend shared by two timeseries. If there is no further trend whichexists in only one time series, then it isthat these two time series are cointegra-ted. This kind of common factor analysis can be extended and applied to stationary time series as well, leading to idea of common cycles. cycles.