Cross-Correlations in Meat Prices in Brazil: A Non-Linear Approach Using Different Time Scales

Derick Quintino,Paulo Ferreira,José Telo Da Gama

doi:10.3390/economies9040133

Derick Quintino, Paulo Ferreira + Show 1 more

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https://doi.org/10.3390/economies9040133

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Abstract

Brazil is one of the world’s largest producers and exporters of cattle, chicken and swine. Therefore, co-movements of Brazilian meat prices are important for both domestic and foreign stakeholders. We propose to analyse the cross-correlation between meat prices in Brazil, namely, cattle, swine and chicken, including also in the analysis information from some commodities, namely maize, soya beans, oil, and the Brazilian exchange rate. Our sample covers the recent period which coincided with extensive macroeconomic and institutional changes in Brazil, from 2011 to 2020, and is divided in two periods: (i) presidential pre-impeachment (P1), occurring in August 2016, and; (ii) post-impeachment (P2). Our results indicate that in P1, only the prices of swine and chicken showed a positive and strong correlation over time, and that cattle showed some positive correlation with chicken only in the short run. In P2, there was also a positive and consistent correlation between swine and chicken, and only a positive association with swine and cattle in the long run. For more spaced time scales (days), the changes in the degree of correlation were significant only in the long run for swine and cattle.

Highlights

In recent years, the great volatility of meat prices has generated a stir in the Brazilian economic debate, including wide dissemination and discussion in the national and international media, due to the impact on foreign trade (Terazono et al 2020)
To take the international influence on domestic commodity price into account, we evaluate the impact of the exchange rate and oil prices on meat prices in Brazil
(cattle, addition to meat prices, we analyse the prices of the main grains produced in the country, swine and chicken) in Brazil, with daily price data, between January 2011 and December soya beans and maize, a relevant of animal feed, as as thegrains

Summary

Introduction

The great volatility of meat prices has generated a stir in the Brazilian economic debate, including wide dissemination and discussion in the national and international media, due to the impact on foreign trade (Terazono et al 2020). The possible effects of price transmission among meats, as well as among other goods, are closely monitored by the Brazilian Central Bank, due to possible second-order inflationary effects and impacts in this relevant sector of world agribusiness (BCB 2019). For the meat sector, in 2018, according to ABIEC (2019), Brazil had approximately 214.7 million head of cattle, the largest herd in the world, ahead of India (186 million) and the USA (94.3 million). Considering cattle plus buffaloes, Brazil is the second largest global producer, with 216.1 million, behind only India with 300.3 million

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