Inflação de alimentos e derivativos agropecuários: uma análise de causalidade para o período de 1999 a 2011

Abstract

This study aims to analyze the relationship between the derivative operations and agricultural food inflation in Brazil and abroad. To this end, monthly data are used about the number of trades carried out on agricultural derivative contracts in BMF & BOVESPA, the IPCA of food and international prices of agricultural commodities from January 1999 until January 2011. The analysis applies some tests, such as the Augmented Dickey-Fuller (1979), the cointegration test of Johansen (1988), the Granger-causality test within an error-correction framework (GRANGER,1986) and the long-run causality test developed by Bruneau e Jondeau (1999). The results indicate both on short and long term a unidirectional causality from the international prices of agricultural commodities to the volume of derivatives contracts, and also the absence of a causal relationship between the latter and domestic food inflation. It follows that the dominant hypothesis is the price effect, thus changes in prices in the spot market Granger cause the elevation of the use of agricultural derivatives, although the reference to the agents are the international prices. Finally, the results still show, just for the long term, a unidirectional causality of the international food inflation on the Brazilian’s, demonstrating the significance of the foreign sector in the national food prices.