巴西柴油价格：动态分数积分分析

IF 0.9 Q3 ECONOMICS

Economics and Business Letters Pub Date : 2021-05-31 DOI:10.17811/EBL.10.2.2021.116-125

D. Quintino, P. Ferreira

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引用次数: 3

摘要

我们利用2010年1月至2020年4月的每周数据，使用分数积分法调查了巴西柴油零售价格的行为。在此期间，我们分析了该国的三个相关经济影响事件：一弹劾巴西总统；ii）卡车司机罢工；iii）全球新冠肺炎疫情的上升。我们使用滑动窗口方法来分析一段时间内的价格动态。结果表明，在样本开始时，价格是非平稳和非均值回归的。随着时间的推移，中西部、南部和东南部地区的柴油价格随着均值回归而变得不稳定，而在北部和东北部，我们不能拒绝非平稳性和非均值回归（d>1）。结果与市场主体和决策者相关，因为可以推断，尽管需要一些时间才能完全消散，但外生冲击是否是暂时的。

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Diesel prices in Brazil: A dynamic fractional integration analysis

We investigate the behaviour of retail diesel prices in Brazil using fractional integration, with weekly data from January 2010 to April 2020. In this period, we have 3 episodes of relevant economic implications in the country under analysis: i) impeachment of the Brazilian President;ii) the lorry-drivers' strike;iii) the rise of the global Covid-19 epidemic. We use a sliding windows approach to analyze price dynamics over time. The results suggest that, at the beginning of the sample, prices were non-stationary and non-mean reverting. Over the time, diesel prices become non-stationary with mean-reversion in Midwest, South and Southeast regions, while in the North and Northeast we cannot reject non-stationarity and non-mean reversion (d > 1). Results are relevant for market agents and policy-makers, as it can be inferred whether exogenous shocks are temporary, despite taking some time to dissipate completely.

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来源期刊

Economics and Business Letters ECONOMICS-

CiteScore

1.80

自引率

11.10%

发文量

期刊介绍： Economics and Business Letters is an open access journal that publishes both theoretical and empirical quality original papers in all economics and business fields. In addition, relevant discussions on current policy issues will be considered for the Policy Watch section. As general strategy of EBL, the journal will launch calls for papers for special issues on topics of interest, generally with invited guest editors. The maximum length of the letters is limited to 2,500 words.