Diesel prices in Brazil: A dynamic fractional integration analysis

Authors

  • Derick David Quintino Department of Economics, Administration and Sociology, University of São Paulo,13418-900 Piracicaba, SP, Brazil
  • Paulo Ferreira VALORIZA - Research Center for Endogenous Resource Valorization, Portalegre, Portugal Instituto Politécnico de Portalegre, Portalegre, Portugal CEFAGE-UE, IIFA, Universidade de Évora, Portugal

DOI:

https://doi.org/10.17811/ebl.10.2.2021.116-125

Abstract

We investigate the behaviour of retail diesel prices in Brazil using fractional integration, with weekly data from January 2010 to April 2020. In this period, we have 3 episodes of relevant economic implications in the country under analysis: i) impeachment of the Brazilian President; ii) the lorry-drivers’ strike; iii) the rise of the global Covid-19 epidemic. We use a sliding windows approach to analyze price dynamics over time. The results suggest that, at the beginning of the sample, prices were non-stationary and non-mean reverting but over the time results changed in the different regions. Results are relevant for market agents and policy-makers, as it can be inferred whether exogenous shocks are temporary, despite taking some time to dissipate completely.

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Published

2021-05-31

How to Cite

Quintino, D. D., & Ferreira, P. (2021). Diesel prices in Brazil: A dynamic fractional integration analysis. Economics and Business Letters, 10(2), 116-125. https://doi.org/10.17811/ebl.10.2.2021.116-125

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