Testing central market hypothesis: an analysis of beef cattle prices in the presence of structural breaks

Pancera, Aline de Queiroz Assis Andreotti; Alves, Alexandre Florindo

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Brasil

Revista de Economia e Sociologia Rural

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ARTIGO • Rev. Econ. Sociol. Rural 58 (4) • 2020 • https://doi.org/10.1590/1806-9479.2020.206751 copy

Testing central market hypothesis: an analysis of beef cattle prices in the presence of structural breaks

Authorship SCIMAGO INSTITUTIONS RANKINGS

Abstract

Aiming to understand price dynamics and the consequences of exogenous shocks in the fat cattle market, the current study has as main goal to identify if structural changes in supply chain and in price dynamics led to changes in the Brazilian beef cattle central market between 2006 and 2017. Therefore, it was intended to test the presence of structural breaks through the Chow test and, according to methodology proposed by Asche et al. (2012), spatially delineate the beef market in Brazil by the Johansen cointegration test (1988, 1995) and identify the central market by the weak exogeneity test. According to the structural breaks test the series was divided into three smaller samples defined by Period I, II and III. In the Period I (early 2006 to 2008), São Paulo was the region that presented the deepest influence on prices comparing to other ones and it was identified as the central market. In the Period II (2009 to 2013) and III (2014 to early 2017), Mato Grosso do Sul became the central market. In conclusion, the results pointed out that the regional changes on beef cattle agribusiness changed the common economic market and the central market over the analyzed period.

Keywords:
central price market; market integration; structural breaks; price variations

	SQR₁	n₁	SQR₂	n₂	SQR₃	Estatística Teste de Chow
Quebra 1	0,137368514	745	0,626445	2130	0,793757	14,01026453**
Quebra 2	0,52024971	1262	0,092189	868	0,626445	6,04335944 **

Série	Períodos	Lags*	ADF			Ordem	Lags*	ADF			Ordem
		Lags*	τ	τ_µ	τ_τ	Ordem	Lags*	τ	τ_µ	τ_τ	Ordem
		Nível					Primeira diferença
lnGO	I	3	1,0520	-1,3270	-1,6910	I(1)	2	-9,89	-9,9540	-9,9760	I(0)
	II	7	1,0830	-1,6720	-2,6270	I(1)	6	-9,497	-9,5650	-9,5590	I(0)
	III	7	0,4950	-2,3520	-1,1840	I(1)	5	-8,408	-8,4230	-8,7490	I(0)
lnMS	I	3	1,0510	-1,3700	-1,4620	I(1)	3	-9,359	-9,4180	-9,4530	I(0)
	II	1	1,8740	-0,8570	-1,5390	I(1)	1	-24,425	-24,5240	-24,5140	I(0)
	III	1	1,1590	-2,9200	-1,2020	I(1)	2	-16,49	-16,5320	-16,8390	I(0)
lnMT	I	3	0,9810	-1,1580	-1,7160	I(1)	2	-9,51	-8,6090	-9,5750	I(0)
	II	1	1,6040	-0,9290	-1,5800	I(1)	2	-19,678	-19,7470	-19,7390	I(0)
	III	1	1,2150	-3,1010	-1,8660	I(1)	1	-23,471	-23,5120	-23,7290	I(0)
lnRO	I	3	1,1150	-1,3440	-1,4240	I(1)	2	-9,248	-9,3280	-9,3680	I(0)
	II	1	1,9550	-1,1880	-1,6610	I(1)	7	-10,561	-10,6940	-10,6990	I(0)
	III	6	0,8300	-3,3140	-2,8330	I(1)	5	-9,129	-9,1690	-9,3400	I(0)
lnTO	I	3	1,1000	-1,1330	-1,2840	I(1)	2	-10,414	-10,4810	-10,5000	I(0)
	II	4	1,4030	-1,7000	-2,3620	I(1)	4	-12,698	-12,7750	-12,7790	I(0)
	III	1	1,4740	-3,1600	-1,4850	I(1)	1	-23,009	-23,0830	-23,4190	I(0)
lnPR	I	3	1,2150	-1,3520	-2,0370	I(1)	2	-9,746	-9,8340	-9,8540	I(0)
	II	1	1,9040	-0,3560	-1,5020	I(1)	2	-18,269	-18,3600	-18,3590	I(0)
	III	1	1,3830	-2,4560	-0,2670	I(1)	1	-22,833	-22,8920	-23,1760	I(0)
lnRS	I	1	2,4810	-2,0670	-1,4820	I(1)	6	-7,951	-8,1560	-8,2440	I(0)
	II	10	1,1160	-0,9230	-2,8300	I(1)	9	-7,257	-7,3470	-7,3710	I(0)
	III	10	0,6730	-2,4290	-2,1610	I(1)	9	-5,576	-5,6200	-5,7720	I(0)
lnSP	I	4	1,0850	-1,3570	-1,9330	I(1)	3	-8,086	-8,1690	-8,1950	I(0)
	II	1	1,3280	-0,8560	-1,7250	I(1)	8	-9,276	-9,3410	-9,3340	I(0)
	III	2	1,0980	-2,3540	-0,9940	I(1)	1	-25,886	-25,9150	-26,0670	I(0)
lnMG	I	3	0,9290	-1,2380	-1,7970	I(1)	2	-9,66	-9,7100	-9,7190	I(0)
	II	7	1,1240	-1,7380	-2,7210	I(1)	6	-8,342	-8,4240	-8,4200	I(0)
	III	1	1,5350	-2,5260	-0,5770	I(1)	6	-7,875	-7,9430	-8,1740	I(0)

Teste – Relação entre regiões produtoras de bovinos
Traço
Hipótese nula	Hipótese alternativa	Período I		Período II		Período III
r < = 0	r > 0	288,5162	**	399,6918	**	192,89	**
r < = 1	r > 1	186,3401	**	272,5999	**	241,992	**
r < = 2	r > 2	125,0247	**	196,9427	**	161,2298	**
r < = 3	r > 3	85,4176	^ns	149,0897	**	112,2705	**
r < = 4	r > 4	51,3363	^ns	105,9926	**	68,2627	**
r < = 5	r > 5	34,022	^ns	67,7034	**	40,3483	^ns
r < = 6	r > 6	19,3325	^ns	33,7007	**	22,7671	^ns
r < = 7	r > 7	9,7374	^ns	15,1352	^ns	10,5017	^ns
r < = 8	r > 8	1,7074	^ns	0,8367	^ns	4,3053	^ns
λ máxima
Hipótese nula	Hipótese alternativa	Período I		Período II		Período III
r = 0	r = 1	102,1761	**	127,0919	**	57,12	**
r = 1	r = 2	61,3154	**	75,6571	**	80,7622	**
r = 2	r = 3	39,6072	^ns	47,853	**	48,9592	**
r = 3	r = 4	34,0813	^ns	43,0971	**	44,0078	**
r = 4	r = 5	17,3143	^ns	38,2892	**	27,9144	**
r = 5	r = 6	14,6895	^ns	34,0026	**	17,5812	^ns
r = 6	r = 7	9,595	^ns	18,5656	**	12,2653	^ns
r = 7	r = 8	8,0301	^ns	14,2985	**	6,1964	^ns
r = 8	r = 9	1,7074	^ns	0,8367	^ns	4,3053	^ns

Estados incluídos	Relações de cointegração
PERÍODO I
SP, MS, GO, MG (4 regiões)	3
4 regiões + MT	3
5 regiões + RO	3
6 regiões + TO	3
7 regiões +PR	3
8 regiões + RS	3
PERÍODO II
SP, MS, GO, MG, MT (5 regiões)	4
5 regiões + RO	5
6 regiões + PR	6
7 regiões +TO	7
8 regiões + RS	7
PERÍODO III
MT, MS, RO, RS, SP, MG (6 regiões)	5
6 regiões + GO	5
7 regiões + TO	5
8 regiões + PR	5

Estados potenciais exógenos	χ²	Probabilidade
PERÍODO I
GO	40,99189	0,000000
MS	21,77048	0,000073
SP	1,470860	0,688960
MG	23,52905	0,000031
PERÍODO II
GO	25,66499	0,000578
MS	18,65419	0,010043
MT	53,60195	0,000000
RO	32,89789	0,000024
TO	33,00680	0,000026
PR	46,08681	0,000000
SP	36,26208	0,000006
MG	44,75265	0,000000
PERÍODO III
MT	68,96577	0,000000
MS	12,17177	0,032508
RO	23,19195	0,00031
RS	26,59951	0,000068
SP	33,78375	0,000003
MG	15,76657	0,007543

Sociedade Brasileira de Economia e Sociologia Rural Av. W/3 Norte, Quadra 702 Ed. Brasília Rádio Center Salas 1049-1050, 70719 900 Brasília DF Brasil, - Brasília - DF - Brazil
E-mail: sober@sober.org.br

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[TFN1] ^**
Rejeita a hipótese nula com 5% de significância. F_tabelado- 5% 1,94. Fonte: Resultados da pesquisa com dados fornecidos pelo CEPEA/ESALQ (Centro de Estudos Avançados em Economia Aplicada 2017Centro de Estudos Avançados em Economia Aplicada – Cepea, Economia, Administração e Sociologia da Escola Superior de Agricultura “Luiz de Queiroz”. (2017) Dados diários preço do boi gordo. CEPEA).