Efficiency of soybean markets in Brazil (2004-2010)

Abstract

The aim of this work is to test the efficiency of the soybean markets in Brazil through co-integration analysis for prices spot and future from october 2004 to may 2010 using the Vector Error Correction (VEC) and Threshold Vector Error Correction Model (TVEC). The verification of the best model to be adopted pointed TVEC model with two regimes. Through the determination of the parameter (threshold), it was found in the regime 1, corresponds to 57.3% of the sample, the prices variations should respond only to the variations occurred in past periods (lagged variables), i.e., only variations of the short-term in prices. As regime 2, it corresponds to 42.7% of the sample, beyond the influence of variables of short-term, the prices should also respond to deviations of long-term. Therefore, it can be concluded that the Brazilian soybean markets are efficient in the period studied.