O boom de commodities dos anos 2000: perspectivas teóricas e análise da volatilidade dos preços da soja e do café brasileiro.

Abstract

The present work proposes a discussion about the dynamics of commodities prices during the 2000’s export boom and its implication for the Brazilian economy. For that purpose, a theoretic approach and an empirical evaluation were produced to investigate the causes of the prices growth and the volatility of coffee and soybean’s prices in future and spot markets, using econometrics models of autoregressive conditional heteroscedasticity (ARCH and GARCH). The data, calculated as the logarithmized first difference (log-returns) of these agricultural goods, comprehends the years between 2003 and 2013. The empiric analysis of the volatility shows that these products are marked by having accentuated flotations of prices, in that shocks positive or negative generate impacts with long period of duration. The theoretical syntheses points toward two principal causes that differentiate this cycle of prices of similar movements in the past: financialization and the Chinese demand rise.