Setor agropecuário brasileiro e causalidade: evidênncias empíricas via teste de não causalidade de longo prazo em bloco em um sistema cointegrado

Abstract

The present work analyzes the long-term causality relations in the sense of Granger between Brazilian agricultural production, agricultural derivatives of the Bolsa do Brasil and trade liberalization. The methodology consisted of applying the long-term block causality test proposed by Yamamoto and Kurozumi (2003) in a Vector Error Correction (VEC) model for the period from 2001 to 2020. The generalized inverse procedure was used to test causality long-term Granger degeneracy between the variables and the degeneracy of the covariance matrix of the estimator was detected from the test developed by Kurozumi (2003). The results obtained corroborate the long-term individual causality of agricultural GDP to derivatives and a relationship of interdependence between international trade and derivatives. In the block analysis, evidence was obtained that derivatives caused the block composed of agricultural production and commercial opening in the rural sector, which indicates that the financial market has the possibility of influencing international trade in the agricultural sector in the long term.