Análise de integração de mercado dos principais países produtores e consumidores de café

• Ano de defesa: 2007
• Autor(a) principal: Rocha, Chrystian Teixeira
• Orientador(a): Castro Júnior, Luiz Gonzaga de
• Banca de defesa: Sáfadi, Thelma, Calegário, Cristina Lelis Leal
• Tipo de documento: Dissertação
• Tipo de acesso: Acesso aberto
• Idioma: por
• Instituição de defesa: Universidade Federal de Lavras
• Programa de Pós-Graduação: DAE - Programa de Pós-graduação; Pós-graduação stricto-sensu em Administração
• Departamento: Departamento de Administração e Economia
• País: BRASIL
• Palavras-chave em Português: Transmissão de preço; Cointegração; Causalidade de Granger; Transmition of price; Co-integration; Granger causality
• Área do conhecimento CNPq: CNPQ_NÃO_INFORMADO
• Link de acesso: https://repositorio.ufla.br/handle/1/2187

This study analyses the space integration among the prices of coffee from the main producing countries (Brazil, Vietnam, Colombia, Mexico and Ethiopia) and consuming ones (United States, German, Japan, Italy and France) of the world. As data were used monthly series of paying prices to producing countries and paying prices from consuming countries in US$ cents/libra peso, supplied by ICO (International Coffee Organization), from January 1982 to January 2008. Were used a statistics software "R" to realize the data analysis. To avoid informal relations were realized Dickey-Fuller Unit-Root tests raised (ADF) and from Phillips Peron (PP) and the results showed that all the time series are Non-Stationary and present the same order of integration, order 1, I(1). Next were discussed the Phillps-Ouliaris Co-Integration test among the series and the results showed that only 29% of the 45 resulting pairs of the combination of ten countries of the study presented relation of equilibrium of long term, as well, are co integrated. By the end were realized a Granger causality test, with the objective of checking the orientation of the transmission of the market prices, and verify the relations of short term, and the results showed that in 34% of the 90 resulting pairs of the combination from the ten countries of the study there was unidirectional causality. It leads to conclude that the information and the market situation of coffee are transmitted in partially inefficient way because doesn´t reach, in a efficient way, all the main producing and consuming countries of coffee of the world.