Influência da bolsa de Nova Iorque sobre o preço do algodão nos estados brasileiros

Abstract

The cotton market has fluctuations and uncertainties in price formation. This paper aims to analyze the influence of the New York Stock Exchange on the price of cotton in Brazilian states. The influences of the New York Stock Exchange (NYBOT) and the price indicators of the Center for Advanced Studies in Applied Economics - CEPEA were considered. The time series econometrics tools were used in the methodology, which is understood as a numerical data set that are obtained over time, using the tests: Johansen Co-integration Tests, to estimate and verify the presence of several Co-integration factors between series; the Vector Auto Regression Model (VAR), which estimates the parameters of the complete multi-variable econometric models, and the Error Corrected Vector Auto Regression Model (VEC), where it suggests that all variables analyzed are stationary. It was found that the price practiced in the state of Mato Grosso exerts a statistically significant influence on other prices over the long term, and the effect of an unanticipated 1% shock on NYBOT's cotton lint price will cause an instantaneous price increase. of cotton lint in the states of Mato Grosso, Bahia, Goiás and CEPEA in the first month, going through variations and stabilizing in the following months.