Conectividade dinâmica de retornos entre commodities agropecuárias e petróleo WTI: Aplicação dos modelos VAR e TVP-VAR no período de 2013 a 2022

Alexandra de Moraes; Paulo Sergio Ceretta

doi:10.17765/2176-9168.2026v19.e14268

Autores/as

Alexandra de Moraes Universidade Federal Rural de Pernambuco https://orcid.org/0000-0002-5408-5658
Paulo Sergio Ceretta Universidade Federal de Santa Maria https://orcid.org/0000-0001-8264-0439

DOI:

https://doi.org/10.17765/2176-9168.2026v19.e14268

Palabras clave:

Análise de séries temporais, Conectividade Dinâmica, Retorno, Commodities Agropecuárias, Petróleo WTI

Resumen

Este artigo investiga a conectividade dinâmica dos retornos entre mercados agropecuários e o mercado de petróleo West Texas Intermediate (WTI). Utilizaram-se os modelos VAR e TVP-VAR, conforme Ready (2018) e Antonakakis e Gabauer (2017). Os resultados mostram que variações nos preços do petróleo impactam significativamente os retornos das commodities agropecuárias. Observou-se que essas conexões dinâmicas variam entre os mercados analisados. Trigo, milho e soja exibem altos níveis de conexão com os choques do petróleo, enquanto outras commodities agrícolas e pecuárias apresentam baixos níveis de conexão.

Biografía del autor/a

Alexandra de Moraes, Universidade Federal Rural de Pernambuco

Doutoranda na Universidade Federal de Lavras

Paulo Sergio Ceretta , Universidade Federal de Santa Maria

Professor da Universidade Federal de Santa Maria

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