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Tendências nos preços de café verde arábica do Brasil e a taxa de câmbio EUR/USD
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Nos últimos anos, a economia global tem estado sujeita a flutuações e perturbações
significativas, incluindo as provocadas pela pandemia de COVID-19 e a instabilidade política
e económica decorrente da invasão russa à Ucrânia em 2022. Estes acontecimentos tiveram
um impacto significativo no comércio internacional, incluindo no mercado do café, importante
mercadoria global. É crucial analisar e compreender as tendências e os comovimentos de
curto prazo entre o café arábica verde do Brasil, as taxas de cambio BRL/EUR e BRL/USD, o
índice de petróleo bruto WTI, e o mercado de capitais do Brasil (IBOVESPA), no período de
27 de novembro 2017 a 24 de novembro de 2022. Os resultados indicam que as séries
cronológicas exibem distribuições não gaussianas e são estacionárias em primeiras
diferenças. No subperíodo tranquilo, o café causa choques unidirecionais na taxa de cambio
BRL/EUR, na taxa de cambio BRL/USD, e no mercado financeiro IBOVESPA, a um nível de
significância de 10%. Isto sugere que as mudanças no índice de preços do café no Brasil têm
um poder preditivo sobre os movimentos destas variáveis, mas o inverso não se verifica. Já
quando analisamos, o subperíodo de Stress podemos evidenciar que o café causa choques
de curto prazo no petróleo (WTI) e no mercado financeiro IBOVESPA, além disso também
verificamos que o mercado financeiro causa choques no preço do café, facto que não
tínhamos verificado no período de aparente acalmia nos mercados. Estes resultados têm
implicações importantes para a compreensão da dinâmica do mercado do café no contexto
dos mercados financeiros e dos preços das mercadorias. A descoberta de que o mercado
financeiro está a causar choques no preço do café sugere que pode haver efeitos colaterais
entre a atividade do mercado financeiro e os preços do café, o que pode ter implicações
importantes para os negociadores de café.
n recent years, the global economy has been subject to significant fluctuations and disruptions, including the pandemic of COVID-19 and political and economic instability in certain regions. These events have had a significant impact on international trade, including the coffee market, which is an important global commodity. As a result, it is crucial to analyze and understand the short-term trends and comovements between Brazil's green Arabica coffee, the BRL/EUR and BRL/USD exchange rates, the WTI crude oil index, and Brazil's capital market (IBOVESPA) over the period from November 27, 2017, to November 24, 2022. The results indicate that the time series exhibit non-Gaussian distributions and are stationary in first differences. In the quiet subperiod, coffee causes unidirectional shocks to the BRL/EUR exchange rate, the BRL/USD exchange rate, and the IBOVESPA financial market at a significance level of 10%. This suggests that changes in the Brazilian coffee price index have predictive power over the movements of these variables, but the reverse is not true. When we analyze the Stress sub-period, we can see that coffee causes short-term shocks in the oil market (WTI) and in the financial market (IBOVESPA), and we also see that the financial market causes shocks in the price of coffee, which we had not seen in the period of apparent calm in the markets. These findings have important implications for understanding the dynamics of the coffee market in the context of financial markets and commodity prices. The finding that the financial market is causing shocks to the price of coffee suggests that there may be spillover effects between financial market activity and coffee prices, which could have important implications for coffee traders.
n recent years, the global economy has been subject to significant fluctuations and disruptions, including the pandemic of COVID-19 and political and economic instability in certain regions. These events have had a significant impact on international trade, including the coffee market, which is an important global commodity. As a result, it is crucial to analyze and understand the short-term trends and comovements between Brazil's green Arabica coffee, the BRL/EUR and BRL/USD exchange rates, the WTI crude oil index, and Brazil's capital market (IBOVESPA) over the period from November 27, 2017, to November 24, 2022. The results indicate that the time series exhibit non-Gaussian distributions and are stationary in first differences. In the quiet subperiod, coffee causes unidirectional shocks to the BRL/EUR exchange rate, the BRL/USD exchange rate, and the IBOVESPA financial market at a significance level of 10%. This suggests that changes in the Brazilian coffee price index have predictive power over the movements of these variables, but the reverse is not true. When we analyze the Stress sub-period, we can see that coffee causes short-term shocks in the oil market (WTI) and in the financial market (IBOVESPA), and we also see that the financial market causes shocks in the price of coffee, which we had not seen in the period of apparent calm in the markets. These findings have important implications for understanding the dynamics of the coffee market in the context of financial markets and commodity prices. The finding that the financial market is causing shocks to the price of coffee suggests that there may be spillover effects between financial market activity and coffee prices, which could have important implications for coffee traders.
Descrição
Palavras-chave
Tendências Comovimentos Séries temporais Café arábica Taxa de cambio WTI IBOVESPA Trends Co-movements Time series Arabica coffee Exchange rate