Uma análise da transmissibilidade entre os preços da gasolina comum e do petróleo tipo Brent durante a crise do COVID-19
Carregando...
Arquivos
Data
Autores
Título da Revista
ISSN da Revista
Título de Volume
Editor
Universidade do Estado do Amazonas
Resumo
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.