Correlações em séries temporais de preços de manga e uva produzidas no Vale do São Francisco

Abstract

Agribusiness is one of the most important economic activities developed in Brazil, its share in the national GDP is 26.6%. Fruit farming also stands out in this context in recent decades the fruit trade in Brazil has grown significantly, serving the domestic and foreign markets. Among the main fruits produced and marketed mangoes and grapes stand out, occupying the first and third positions of the most exported fruits by Brazil respectively. In this work, the time series of returns and weekly price volatility of two mango varieties “Palmer” and “Tommy Atkins” and two types of grape varieties “Itália” and “Benitaka” produced in the São Francisco Valley, were analyzed a region with relevant participation in the production and export of these fruits. The Detrended Fluctuation Analysis (DFA) and Detrended Cross-Correlation Analysis (DCCA) methods were used to calculate scale exponents of long-range correlations and cross-correlations between the analyzed series. The results showed that the volatility series have stronger persistence than the return series that presented two regimes of scale invariance with anti-persistent correlations on the larger temporal scales. The cross-correlations between the series of returns also presented two scaling regimes, obtaining, for mango, exponents similar to the series of returns of the “Tommy Atkins” variety. The correlation coefficient values obtained by the Detrended Cross-Correlation Coefficient method (𝜌𝐷𝐶𝐶𝐴) showed for the returns and volatility of the two fruits the correlations between the series are positive, increasing with time scale and are stronger for the return series.