Banca de DEFESA: VANIELE DA SILVA BARROS

Uma banca de DEFESA de DOUTORADO foi cadastrada pelo programa.
STUDENT : VANIELE DA SILVA BARROS
DATE: 11/02/2025
TIME: 14:00
LOCAL: https://meet.google.com/hpu-kudv-gwr
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: 63
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 Dollar/Real exchange rate, using Recurrence Plot (RP), Cross Recurrence Plot (CRP), Recurrence Quantification Analysis (RQA), and Cross Recurrence Quantification Analysis (CRQA) methods. The data used consist of daily prices of Brazilian agricultural commodities and the exchange rate, recorded between July 1997 and May 2023, provided by the Center for Advanced Studies on Applied Economics / Luiz de Queiroz College of Agriculture / University of São Paulo (CEPEA/ESALQ/USP). The RPs of the time series for commodity prices (BRL) during the pre- and post-Subprime crisis periods and 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. Moreover, the texture of the plots revealed chaotic behavior and short-lived laminar states. During the pandemic, the prices of sugar, coffee, cotton, and soybeans became more predictable, while cattle price predictability decreased. RQA metrics indicated increases in REC, DET, and L indices for some commodities, suggesting higher predictability and lower market efficiency. In contrast, the exchange rate exhibited greater efficiency, reflected in reduced price predictability. In the post-Subprime crisis period, the prices of sugar, cotton, cattle, and coffee also became more predictable, whereas soybeans and the exchange rate showed lower predictability. CRQA analysis revealed a reduction in synchronization between the studied agricultural commodity markets and the exchange rate during the pandemic, suggesting decreased predictability and interaction. In the post-Subprime crisis period, synchronization between the exchange rate and sugar and cattle prices also declined. However, there was an increase in synchronization between the exchange rate and cotton, coffee, and soybean prices. These analyses provide valuable insights for policymakers, companies, investors, and risk managers, aiding them in making informed decisions and developing effective strategies in a globally interconnected and volatile economic environment.

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