Banca de QUALIFICAÇÃO: VANIELE DA SILVA BARROS

Uma banca de QUALIFICAÇÃO de DOUTORADO foi cadastrada pelo programa.
STUDENT : VANIELE DA SILVA BARROS
DATE: 20/08/2024
TIME: 14:00
LOCAL: https://meet.google.com/nsz-djgo-iab
TITLE:

Use of Recurrence Chart in analyzing correlations between prices of agricultural products and exchange rate

KEY WORDS:

Agricultural commodity prices; Subprime crisis; COVID-19 pandemic.

PAGES: 55
BIG AREA: Ciências Agrárias
AREA: Agronomia
SUMMARY:

This study investigates the influence of the Subprime crisis and the COVID-19 pandemic on the nonlinear dynamics of Brazilian agricultural commodity prices (sugar, soybeans, cattle, cotton, coffee) and their relationship with the USD/BRL exchange rate, using Recurrence Plot (RP), Cross Recurrence Plot (CRP), Recurrence Quantification Analysis (RQA), and Cross Recurrence Quantification Analysis (CRQA) methods, which are based on the recurrence of states in dynamic systems in phase space. The data used were the daily prices of Brazilian agricultural commodities and the exchange rate, recorded between July 1997 and May 2023, provided by the Center for Advanced Studies in Applied Economics / "Luiz de Queiroz" College of Agriculture / University of São Paulo - CEPEA/ESALQ/USP. The RPs of the time series of commodity prices (BRL) during the pre-pandemic and pandemic periods showed that price dynamics are not random. Checkerboard patterns and white bands were observed, indicating sudden changes and non-stationarity. Additionally, the texture of the plots revealed chaotic behavior and short-duration laminar states. During the pandemic, prices for commodities such as sugar, coffee, cotton, and soybeans became more predictable, while the predictability of cattle prices decreased. Measures obtained through RQA showed an increase in REC, DET, and L indices for some commodities, suggesting greater predictability and lower market efficiency. The exchange rate showed increased efficiency, reflected in the lower predictability of prices. CRQA revealed a reduction in synchronization between agricultural commodity markets and the exchange rate during the pandemic, suggesting lower predictability and interaction between them. These analyses provide valuable insights for policymakers, companies, investors, and risk managers, helping them make informed decisions and develop effective strategies in a globally interconnected and volatile economic environment.

COMMITTEE MEMBERS:
Interno - JADER DA SILVA JALE
Externa à Instituição - LIDIANE DA SILVA ARAUJO - UFP
Interno - LUCIAN BOGDAN BEJAN
Externo à Instituição - SILVIO FERNANDO ALVES XAVIER JUNIOR - UEPB
Presidente - TATIJANA STOSIC