Analysis of the Co-Movements in the Short Term of Commodities Oil, Mineral Coal and Crude Oil
DOI:
https://doi.org/10.5902/2179460X39881Keywords:
Mineral Commodities, Autorregressive Vectors, Response Impulse.Abstract
O principal objetivo deste estudo é determinar a relação entre petróleo, petróleo bruto e commodities de carvão mineral, de 1997 a 2015, para entender, identificar e quantificar seu impacto no relacionamento de curto prazo usando os modelos vetoriais auto-regressivos. A metodologia dos vetores autoregressivos fornecerá a avaliação das funções de resposta a impulsos e decomposição de variância aplicada às mercadorias incluídas neste estudo. Nossas descobertas mostram que o petróleo afeta os preços do carvão mineral e do petróleo e seu próprio preço; mas não é afetado pelas variáveis de pedido. Óleo provoca um comportamento instável nas outras variáveis, apresentando efeitos positivos e negativos, todas as variáveis, depois de sofrer choques externos, retornaram aos seus níveis normais de oscilação até o 7 thperíodo. Um impulso de um desvio padrão em petróleo bruto afectar carvão mineral positivamente e negativamente, e começam a ficar estável em 9 th período. A resposta ao petróleo é oscilatória quando o carvão mineral recebe um choque externo e começa a se estabilizar no sexto mês. O conhecimento de seu comportamento ao longo do tempo é importante para que os gerentes tomem decisões assertivas com um planejamento estratégico adequado, com base nas informações científicas.
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