Ensaios sobre os mercados de etanol e gasolina - uma análise através do SVAR

Abstract

This study is divided into two essays on the ethanol-gasoline nexus and on the price fluctuations of gasoline C. The first one analyzes how the gasoline market reacts to shocks of supply and demand of hydrated ethanol. This study is motivated by the role of hydrated ethanol in the fuel market and by the literature gap regarding the modeling of time series that capture the dynamic effect of different shocks from the ethanol market over that of gasoline. Therefore, it was estimated a Structural Autoregressive Vectors model, designed to capture the different dynamics and interactions between the sectors. The main finding was that demand shocks for ethanol, driven by policy changes, are significant in the impact of demand and supply of gasoline in Brazil. Therefore, supply shocks to ethanol, driven by lower production costs, do not play a significant role in the gasoline market, to the detriment of demand shocks. The second essay examines how gasoline price fluctuations react to market demand and supply shocks, as well as oil prices and economic variables. Also, it verifies how the price containment between 2011 and 2015 affected the price of gasoline. The motivation of this study is due to the role that gasoline plays in Brazil - mainly because it is an important variable in terms of economic policy for the government -, and the analysis is developed through Authors' Structural Autoregressive Vectors (SVAR). The result evidenced government control of prices in order to contain inflationary pressures in the short and long term, and that economic activity and demand for gasoline have an impact on prices in the short term. This indicates that the gasoline follows behavior of the price index, not reflecting the forces of that market.