Agricultural commodities price dependence on Brazilian financial market

Agricultural commodities price dependence on Brazilian financial market

This study aims to identify whether there is dependence between agricultural commodities traded on the Brazilian market. We used the bivariate copula method over a ten-year period to assess the extreme effects on the returns of the following commodities: soybean, wheat, Arabica coffee, and Robusta c...

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Bibliographic Details
Published in:International journal on food system dynamics Vol. 14; no. 1; pp. 88 - 94
Main Authors: Casagranda, Yasmin Gomes, Casarotto, Eduardo Luis, Pereira, Gênesis Miguel, Amorin, Anderson Luís Walker, Schollkopf, Joana Cechele, Mores, Giana de Vargas
Format: Journal Article
Language:English
Published: 01-01-2023
Edition:1012
Subjects:
Agribusiness
Agricultural commodities
Bivariate copulas
Demand and Price Analysis
Price volatility
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Summary:This study aims to identify whether there is dependence between agricultural commodities traded on the Brazilian market. We used the bivariate copula method over a ten-year period to assess the extreme effects on the returns of the following commodities: soybean, wheat, Arabica coffee, and Robusta coffee. The relationship directly affects the dependence between Arabica and Robusta coffees commodities. While the relationship between wheat, Arabica and Robusta coffees, and soybean is positively dependent. Economic growth, market dynamics, and the prices of an agricultural commodity tend to increase the price of other commodities.
ISSN:1869-6945
1869-6945
DOI:10.22004/ag.econ.346691