Agricultural commodities price dependence on Brazilian financial market
Casagranda, Yasmin Gomes | Casarotto, Eduardo Luis | Pereira, Gênesis Miguel | Amorin, Anderson Luís Walker | Schollkopf, Joana Cechele | Mores, Giana de Vargas
This study aims to identify whether there is dependence between agricultural commodities traded on the Brazilian market. We used the bivariate copula method over a ten-year period to assess the extreme effects on the returns of the following commodities: soybean, wheat, Arabica coffee, and Robusta coffee. The relationship directly affects the dependence between Arabica and Robusta coffees commodities. While the relationship between wheat, Arabica and Robusta coffees, and soybean is positively dependent. Economic growth, market dynamics, and the prices of an agricultural commodity tend to increase the price of other commodities.
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