THE INTERNATIONAL AND BRAZILIAN MILK MARKETS: VOLATILITY AND PRICE TRANSMISSION

Authors

DOI:

https://doi.org/10.14210/alcance.v27n1(Jan/Abr).p82-98

Keywords:

Agribusiness. Causality. Cointegration. Agricultural marketing. Cow’s milk.

Abstract

This study aims analyzes the volatility and transmission of international milk prices to the prices in the main Brazilian markets. In theory, the integration between interacting markets suggests that one or more markets tend to lead the other markets when there are price fluctuations. This work investigates the premise of price transmission from the major milk producing countries/exporting conglomerates (the European Union, New Zealand, the USA, Argentina and Uruguay) to the main Brazilian markets, in the period 2012 to 2017. This analysis included the cointegration test, which allowed us to verify the hypothesis of equilibrium of the long-term relationship between milk prices in the international and Brazilian markets, and breakdown of analysis of variance, which enabled us to evaluate the relative participation of fluctuations in milk prices in the international markets in the price fluctuations of the main Brazilian markets. The results show that a potential shock in the international dairy market is effectively transmitted to the Brazilian markets, which persists in the long term, in a relationship of balance. It was concluded that over the six-month period studied, about a quarter of milk price fluctuations in the main Brazilian markets were caused by changes in the prices of the main international dairy markets, particularly those of Uruguay, New Zealand and the USA.

Author Biographies

Ana Carolina Gomes de Oliveira Costa, Universidade Federal de Uberlândia (UFU)

Bolsista de Iniciação Científica UFU, Bacharel em Administração pela Universidade Federal de Uberlândia (UFU/FACES). Membro do Grupo de Pesquisa “Inteligência em Finanças e Mercados” (IFIM/UFU) e do “Núcleo de Educação Financeira” (NEF/UFU).

Odilon Jose de Oliveira Neto, Universidade Federal de Goiás (UFG) Bolsista do CNPq/Brasil (PDJ Nº 150870/2018-3)

Bolsista do Conselho Nacional de Desenvolvimento Científico e Tecnológico - Brasil (CNPq) da Área de Administração, Contabilidade e Economia (PDJ Nº 150870/2018-3), Pesquisador em Estágio Pós-Doutoral em Agronegócio no Programa de Pós-graduação em Agronegócio da Universidade Federal de Goiás (PPAGRO/UFG). Doutor em Administração (Finanças) pela Escola de Administração de Empresas de São Paulo da Fundação Getulio Vargas (FGV/EAESP). Professor da área de Finanças do Curso de Administração da Universidade Federal de Uberlândia (UFU - Campus Pontal). Coordenador do Grupo de Pesquisa “Inteligência em Finanças e Mercados” (IFIM/UFU) e Membro do Núcleo de Estudos e Pesquisas em Administração e Ciências Contábeis (NEPACC).

Reginaldo Santana Figueiredo, Universidade Federal de Goiás (UFG)

Doutor em Economia pela UFRJ com Pós-doutorado em Modelagem e Simulação na Texas A&M University, EUA. Professor Titular da Universidade Federal de Goiás (UFG/PPAGRO). Membro do Grupo de Pesquisa “Inteligência em Finanças e Mercados” (IFIM/UFU).

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Published

2020-03-24

Issue

Vol. 27 No. 1(Jan/Abr) (2020)

Section

Article

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