Navegando por Autor "Silva, Yan Zany"

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Uma análise da transmissibilidade entre os preços da gasolina comum e do petróleo tipo Brent durante a crise do COVID-19
(Universidade do Estado do Amazonas, 2021-05-27) Silva, Yan Zany; Lobato, Tarcisio da Costa
Gasoline, being a non-durable consumer good, has problems regarding its pricing, for it is at the mercy of both internal and external factors. During the Covid-19 crisis, there was a drop in consumption of this good, which influenced price fluctuations, as the isolation measures, times intensified, times relaxed. However, there is no clarity regarding the price symmetry between the adjustments of gasoline in relation to oil. Thus, the purpose of this study is to verify whether or not there were asymmetric shocks between the nominal price of the common gasoline and the type of Brent oil, during the period from 03/01/2020 to 12/26/2021. The database consists of weekly information, collected from the National Petroleum Agency – ANP (gasoline price) and from the site investing.com (brent-type oil). The econometric analysis to detect price asymmetry was done through the GARCH family models. The results of the TARCH (0.1) and EGARCH (0.1) models did not detect effects of asymmetric shocks in this period, whereas the GARCH (0.1) model suggests the existence of symmetrical shocks in the analyzed period, in addition it presented persistence of the shocks on volatility, demonstrating that the effects, both positive and negative, on volatility will slowly dissipate. It is concluded that in the pandemic period there were no indications in the asymmetry of price transmission between Gasoline and Brent-type oil.