Description
Title: Brazilian Meat Price Cross-Correlations: A Non-Linear Approach Using Various Time Scales
Abstract: Cattle, chicken, and swine are among the foods that Brazil produces and exports the most to other countries. Therefore, Brazilian meat price co-movements are significant for both domestic and international stakeholders. We suggest examining the correlations between the prices of beef, pork, and chicken in Brazil as well as other commodities like soy beans, oil, and the value of the Brazilian real when conducting this analysis. Our sample spans the most recent period, from 2011 to 2020, which was accompanied by significant macroeconomic and institutional changes in Brazil. It is divided into two time periods: I the presidential pre-impeachment (P1), which took place in August 2016, and (ii) the post-impeachment period (P2). Our findings show that in P1, only the prices of swine and chicken showed a positive and significant correlation over time, while cattle prices only briefly exhibited a positive correlation with chicken prices. In P2, there was only a short-term positive correlation between swine and cattle and no consistent positive correlation between swine and chicken. The changes in the degree of correlation for more distant time scales (days) were significant for swine and cattle only over the long term.
Keywords: correlation; detrended cross-correlation analysis; meat prices; time
Paper Quality: SCOPUS / Web of Science Level Research Paper
Subject: Economics
Writer Experience: 20+ Years
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