Cross-correlation analysis on Brazilian gasoline retail market

被引：12

作者：

Nascimento Filho, A. S. ^{[1
]}

Pereira, E. J. A. L. ^{[1
,2
]}

Ferreira, Paulo ^{[3
,4
,5
]}

Murari, T. B. ^{[1
]}

Moret, M. A. ^{[1
,6
]}

机构：

[1] Ctr Univ SENAI CIMATEC, Salvador, BA, Brazil

[2] Inst Fed Maranhao IFMA, Bacabal, Brazil

[3] VALORIZA Res Ctr Endogenous Resources Valorizat, Portalegre, Portugal

[4] Inst Politecn Portalegre, Portalegre, Portugal

[5] Univ Evora, IIFA, CEFAGE UE, Evora, Portugal

[6] Univ Estado Bahia UNEB, Salvador, BA, Brazil

来源：

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2018年 / 508卷

关键词：

Fuel; Average Retail Margin; Tacit collusion; CRUDE-OIL; CORRELATION-COEFFICIENT; NONSTATIONARY SERIES; TIME-SERIES; PRICE; DEMAND; ELASTICITIES; SCALES; INDEX; FUEL;

D O I：

10.1016/j.physa.2018.05.143

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

In this paper we investigate the cross-correlations between Brazilian gasoline retail markets in fifteen capitals. The hypothesis that is not expected any strong cross-correlation or anti cross-correlation between these markets was tested by applying the multi-scale cross correlation analysis in the of Average Retail Margin of gasoline type C. Our empirical results support a significant cross-correlation value between three capitals of Southeast region for both short-term and long-term, regardless of time scale (weeks). Moreover, Sao Paulo-Belo Horizonte and sao Paulo-Rio de Janeiro pairs presented strong correlation from time scale of thirty three weeks. And also Sao Paulo market seems exerts some regional influence in the Average Retail Margin behaviors. The main contribution is that cross-correlations results have importance in terms of taking decisions for investors as well as for Brazilian energy policies. (C) 2018 Elsevier B.V. All rights reserved.

引用

页码：550 / 557

页数：8

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