Modelo estrutural de previsão de preço e volume negociado de minério de ferro

• Ano de defesa: 2008
• Autor(a) principal: Franco, Patricia Calazans Albuquerque de Mello
• Orientador(a): Ferreira, Pedro Cavalcanti Gomes
• Tipo de documento: Dissertação
• Tipo de acesso: Acesso aberto
• Idioma: por
• Palavras-chave em Português: Minério de ferro; Mercado transoceânico; Siderurgia; Cointegração
• Palavras-chave em Inglês: Iron ore; Seaborne market; Steel; Co-integration; VAR
• Link de acesso: https://hdl.handle.net/10438/7835

This study presents a forecasting model for prices and volumes traded in the seaborne iron ore market. A VAR model (with endogenous variables with one lag) was developed, using oil prices (Brent) and an industrial production index. After testing for a unit root in the variables and discovering that none of them were stationary, the co-integration test showed that there was a long term relation between them, which was in itself stationary, eliminating the possibility of a spurious regression. As a result, the VAR model was seen to be consistent, with high adherence to forecast prices and volumes for seaborne trade, in spite of some short term imprecision.