Analysis of price transmission of tobacco among grower states in brazil and international market

The aim of this work is to verify if the world tobacco market and the Brazilian tobacco market are integrated and to determine how is made price transmission among the grower states from January 1999 to December 2009. For that it was used these tests: Unity Root Test (Dickey-Fuller test), Granger Causality, Johansen Cointegration Test, Estimation of Vector Error Correction Model (VEC) and analysis of the forecast error variance. The results found by the estimated VEC model for international market analysis suggest that the series present equilibrium of long-term. The results found show that the price got by tobacco growers in Parana can have more variations than in Rio Grande do Sul and Santa Catarina. In the analysis of world tobacco market the results of the the estimated VEC model showed that the price of tobacco in the international market has high sensitivity to price changes.