Using Transfer entropy to measure the information flow in Sugar, Ethanol and Crude Oil price series

  • Joelma Mayara da Silva Universidade Federal Rural de Pernambuco
  • Mirelly Gonçalves Ferreira Universidade Federal Rural de Pernambuco
  • Íkaro Daniel de Carvalho Barreto Universidade Federal Rural de Pernambuco
  • Tatijana Stosic Universidade Federal Rural de Pernambuco
  • Borko Stosic Universidade Federal Rural de Pernambuco
Palavras-chave: Transfer Entropy, Transfer Information, Agricultural market, Biofuel Market, Fuel Market

Resumo

In the last years the ethanol production was grown up in the entire world, which also occurred in the Brazil, the second world production, the Brazilian product is classified was biofuel and derivate the sugarcane, it is also raw material of sugar. Furthermore, studies stand the influence in fuels from the foods prices, because the increase fuels prices increase the cost of transport and consequently the food production. On this, we study the direction of information flow between Brazilian ethanol and sugar prices and international crude oil prices using the Transfer entropy method. We find stronger information transfer from crude oil to sugar and crude oil to ethanol for return and volatility series while for original series the net information transfer was in opposite direction. There was no net information transfer between ethanol and sugar series, indicating that Brazilian biofuel and agricultural market are strongly related with international crude oil market.

Biografia do Autor

Joelma Mayara da Silva, Universidade Federal Rural de Pernambuco
Departamento de Informática - Programa de Pós-Graduação em Biometria e Estatística Aplicada
Mirelly Gonçalves Ferreira, Universidade Federal Rural de Pernambuco
Departamento de Física
Íkaro Daniel de Carvalho Barreto, Universidade Federal Rural de Pernambuco
Departamento de Informática - Programa de Pós-Graduação em Biometria e Estatística Aplicada
Tatijana Stosic, Universidade Federal Rural de Pernambuco
Departamento de Informática - Programa de Pós-Graduação em Biometria e Estatística Aplicada
Borko Stosic, Universidade Federal Rural de Pernambuco
Departamento de Informática - Programa de Pós-Graduação em Biometria e Estatística Aplicada

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Publicado
29-07-2019