Diesel prices in Brazil: A dynamic fractional integration analysis
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Derick David Quintino [1] ; Paulo Ferreira [2]
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[1] Universidade de São Paulo
Universidade de São Paulo
Brasil
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[2] Instituto Politécnico de Portalegre
Instituto Politécnico de Portalegre
São Lourenço, Portugal
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- Localización: Economics and Business Letters, ISSN-e 2254-4380, Vol. 10, Nº. 2, 2021, págs. 116-125
- Idioma: inglés
- Enlaces
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Resumen
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 of relevant economic implications in the country under analysis: i) impeachment of the Brazilian President; ii) the lorry-drivers’ strike; iii) the rise of the global Covid-19 epidemic. We use a sliding windows approach to analyze price dynamics over time. The results suggest that, at the beginning of the sample, prices were non-stationary and non-mean reverting but over the time results changed in the different regions. Results are relevant for market agents and policy-makers, as it can be inferred whether exogenous shocks are temporary, despite taking some time to dissipate completely.
