Diesel prices in Brazil: A dynamic fractional integration analysis
نویسندگان
چکیده
We investigate the behaviour of retail diesel prices in Brazil using fractional integration, with weekly data from January 2010 to April 2020. In this period, we have 3 episodes relevant economic implications country under analysis: i) impeachment Brazilian President; ii) lorry-drivers’ strike; iii) rise global Covid-19 epidemic. use a sliding windows approach analyze price dynamics over time. The results suggest that, at beginning sample, were non-stationary and non-mean reverting but time changed different regions. Results are for market agents policy-makers, as it can be inferred whether exogenous shocks temporary, despite taking some dissipate completely.
منابع مشابه
A Modified Multi Time Step Integration for Dynamic Analysis
In this paper new implicit higher order accuracy (N-IHOA) time integration based on assumption of constant time step is presented for dynamic analysis. This method belongs to the category of the multi time step integrations. Here, current displacement and velocity are assumed to be functions of the velocities and accelerations of several previous time steps, respectively. This definition causes...
متن کاملFractional Integration and Mean Reversion in Stock Prices
The Efficient Market Hypothesis (EMH) is frequently tested by measuring the degree of mean reversion in stock prices, since highly predictable changes might indicate that investors are not fully rational. Existing studies often rely on statistical tests which impose too restrictive assumptions on the time series behaviour of the series of interest, and have very low power. This paper uses a tes...
متن کاملFinancial Crisis and Steel Trade Integration in Asia and Pacific: A Static and Dynamic Analysis
The objective of this paper is to explore the effect of financial crisis on trade flows of steel industries in the major Asian-Pacific steel producing countries. Using a static and dynamic panel data analysis, we test the hypothesis that the global financial crisis has a negative effect on Asia-Pacific bilateral steel trade flows. We also examine the role of regional trade integration in bilate...
متن کاملA Fractional Integration and Cointegration Analysis
This study examines the relationship between healthcare expenditure and disposable income in the 50 US states over the period 1966-2009 using fractional integration and cointegration techniques. The degree of integration and nonlinearity of both series are found to vary considerably across states, whilst the fractional cointegration analysis suggests that a long-run relationship exists between ...
متن کاملAnalysis the Impact of Hydro Renewable Energy on Electricity Prices in Iran Using a Long-Run Dynamic Model
The energy crisis in recent years has led politicians and major countries around the world to take energy issues differently from the past and replace fossil fuels with renewable energies, including hydroelectricity, to reduce and save energy, controlling supply and demand energy and reduction of pollutant emissions has been widely welcomed. Accordingly, the present study investigates the impac...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Economics and Business Letters
سال: 2021
ISSN: ['2254-4380']
DOI: https://doi.org/10.17811/ebl.10.2.2021.116-125