Dissertação
Commodities agrícolas: análise multifractal do mercado brasileiro
Fecha
2023-03-31Autor
Bezerra, Antonio Marcos
Institución
Resumen
The appreciation of the dollar against the real has made consumer items more expensive and
pressured inflation in Brazil, since from food to fuel and airline tickets, almost everything is
influenced by the exchange rate. In this sense, it is necessary for researchers, analysts and public
policy makers to be able to know the behavior of agricultural commodity prices – including the
multifractal characteristics – in order to be able to apply more adequate models to make
predictions and support decision-making. Therefore, this dissertation aimed to analyze whether
the prices of agricultural commodities ox, coffee, corn, wheat, rice and sugar have multifractal
characteristics. This investigation was carried out by applying the Multifractal Detrended
Fluctuation Analysis (MF-DFA) method to the daily returns of these commodities in the period
from 01/04/2010 to 01/12/2023, totaling a sample of 3215 observations, using the statistical
software R. It is noteworthy that this method was chosen because it has a simple application,
presents reliable results for non-stationary time series and reliably determines the multifractal
scale behavior of a time series. The results showed that all studied commodities have
multifractal characteristics both in real and in dollar. In more detail, all analyzed commodities
showed a higher degree of multifractality in real compared to the dollar, with the exception of
coffee; when comparing the degree of multifractality among all commodities only in reais, it
was observed that ox stood out with the highest degree followed by wheat and, at the other
extreme, coffee showed the lowest degree of multifractality.