Affiliation:
1. Universidade Federal Rural de Pernambuco, Departamento de Estatìstica e Informática, Rua Dom Manoel de Medeiros s/n, Dois Irmãos, 52171-900 Recife/PE, Brazil
2. Universidade Federal de Pernambuco, Departamento de Física, Av. Prof. Moraes Rego 1235, Cidade Universitária 50670-901 Recife/PE, Brazil
Abstract
In order to address the overall properties of the Brazilian agricultural commodity market and the intricate effects of political and economic instabilities, in this work, we provide a comprehensive study of the multifractal properties of the Brazilian commodities using multifractal detrended fluctuation analysis (MFDFA). We focus on the daily price of 12 Brazilian agricultural commodities over the last two decades, and four commodities (sugar, soybean, coffee and cattle) are also studied in terms of time-dependent MFDFA to address the effects of particular political and economic instability events. All commodities exhibit multifractal properties, which are then used to evaluate market efficiency. We find that all commodities except coffee show lower market efficiency for prices in Brazilian Reals (BRL) than in US Dollars (USD) reflecting the presence of constrains in domestic agricultural market, such as minimum price policy. From time-dependent MFDFA, we find that after the 2007/2008 food crisis, the market efficiency increases, as indicated by the changes in price dynamics towards lower persistency and weaker multifractality, with the dominance of small fluctuations.
Publisher
World Scientific Pub Co Pte Lt
Subject
Applied Mathematics,Geometry and Topology,Modeling and Simulation
Cited by
24 articles.
订阅此论文施引文献
订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献