O efeito do câmbio sobre os preços dos alimentos no atacado e varejo

• Ano de defesa: 2022
• Autor(a) principal: Vilela, Joelmir Divino Carlos Feliciano
• Orientador(a): Figueiredo, Reginaldo Santana
• Banca de defesa: Figueiredo, Reginaldo Santana, Wander, Alcido Elenor, Medrano, Luis Alberto Toscano, Menezes, José Elmo de, Oliveira Neto, Odilon José de
• Tipo de documento: Tese
• Tipo de acesso: Acesso aberto
• Idioma: por
• Instituição de defesa: Universidade Federal de Goiás
• Programa de Pós-Graduação: Programa de Pós-graduação em Agronegócio (EA)
• Departamento: Escola de Agronomia - EA (RG)
• País: Brasil
• Palavras-chave em Português: Transmissão de preços; Transmissão de volatilidade; Causalidade de Granger; Preços dos alimentos; Taxa de câmbio
• Palavras-chave em Inglês: Price transmission; Volatility transmission; Granger causality; Food prices; Exchange rate
• Área do conhecimento CNPq: CIENCIAS AGRARIAS::AGRONOMIA
• Link de acesso: http://repositorio.bc.ufg.br/tede/handle/tede/12330

This doctoral dissertation analyzes whether exchange rate variations in the USDollar/ Brazilian Real exchange rate influence food prices at the wholesale and retail level. For the analysis of price transmission, the Engle-Granger Cointegration, VEC, TAR and MTAR Models and the Granger Causality Test were used, and for the risk transmission analysis, the BEKK Model was used. The results of the analysis for the price transmission indicated that: (i) the USDollar/Brazilian Real exchange rate and food prices are cointegrated, concluding that there is a long-term equilibrium relationship between them; (ii) the MCE presented the parameters that correct the short-term imbalance relationship to its long-term equilibrium value between the US-Dollar/Brazilian Real exchange rate and food prices; (iii) the TAR and MTAR Models indicated that the USDollar/Brazilian Real exchange rate and food prices are cointegrated and the transmission of prices between them occurs symmetrically; (iv) the Granger Causality Test indicated that the US-Dollar/Brazilian Real exchange rate influences food prices. Finally, the results analyzed for risk transmission indicated that there is strong evidence that the variability of the USDollar/Brazilian Real exchange rate transmits risks to food prices, both via shocks and viavolatilities.