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Revista de Economia e Sociologia Rural

versão impressa ISSN 0103-2003versão On-line ISSN 1806-9479

Resumo

SOARES, Thiago Costa  e  LOPES, Luckas Sabioni. Quebras Estruturais Sistêmicas e Efeito Threshold na Dinâmica dos Preços do Boi Gordo: o caso das regiões Sudeste e Centro-Oeste. Rev. Econ. Sociol. Rural [online]. 2015, vol.53, n.2, pp.343-360. ISSN 1806-9479.  https://doi.org/10.1590/1234-56781806-9479005302009.

In this paper, we aimed to investigate beef cattle markets integration, when taking into account structural breaks in multivariate (auto)regressions, and transaction costs, in the Southeast and Central-West regions in Brazil. Data set is monthly, ranging from 1980 to 2012. Our methodological approach is built on two main blocks: first, time series are divided into smaller samples sharing common characteristics, according to the structural breaks test due to Qu and Perron (2007); second, momentum threshold model (M-TAR, ENDERS; SIKLOS, 2001) is employed addressing to issues as cointegration and asymmetrical adjustment. Our results show two significant breaks, one related to the hyperinflationary period, and another to the 2007/2008 financial crisis. Moreover, those breaks are decisive to understand the time series dynamics. For instance, in the hyperinflationary sample, transaction costs were higher, although markets were integrated. Conversely, between 2007 and 2012, prices were not synchronized, while transaction costs were almost non-significant. Thus, integration analyses that do not consider structural breaks may mislead some relevant aspects of the data.

Palavras-chave : Beef cattle; market integration; structural breaks; Southeast; Central-West; Brazil..

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