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

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.

An investigation into the relationship between sugarcane and grain prices in Brazil: a fractional cointegration approach

“…According to the 2019 harvest, Brazil is the main soybean exporter worldwide, with approximately 52% of exports, and with regard to corn, Brazil is in third position, with around 17% of world exports. 3 Therefore, price changes owing to the possible correlations that one commodity exerts on another are important for about 207.75 million Brazilian consumers and have a global impact owing to the importance of the Brazilian supply in global exports. There is evidence that with the strong growth of grain prices, there is a tendency for part of the production allocated to sugarcane to be directed to grain production, especially soybean and corn.…”