Price Rate Analysis of Gasoline, Ethanol and Sugar between 2001 and 2015 in Brazil

Transcription

1 Price Rate Analysis of Gasoline, Ethanol and Sugar between 2001 and 2015 in Brazil Igor G. Cesca Virginia Parente Fernando A. S. Postali University of São Paulo

2 INDEX I. INTRODUCTION Evolution of oil prices Investments in ethanol automobile fuel Crisis in the ethanol domestic market Hypothesis / Objectives II. METHODOLOGY Data Econometric model III. RESULTS Short-term results Long-term results IV. CONCLUSIONS

3 INDEX I. INTRODUCTION Evolution of oil prices Investments in ethanol automobile fuel Crisis in the ethanol domestic market Hypothesis / Objectives II. METHODOLOGY Data Econometric model III. RESULTS Short-term results Long-term results IV. CONCLUSIONS

4 jan/01 out/01 jul/02 abr/03 jan/04 out/04 jul/05 abr/06 jan/07 out/07 jul/08 abr/09 jan/10 out/10 jul/11 abr/12 jan/13 out/13 jul/14 abr/15 $160,00 Real Oil Prices (US$/bbl) $140,00 $120,00 $100,00 $80,00 $60,00 $40,00 $20,00 $- IndexMundi (2016)

5 jan/01 out/01 jul/02 abr/03 jan/04 out/04 jul/05 abr/06 jan/07 out/07 jul/08 abr/09 jan/10 out/10 jul/11 abr/12 jan/13 out/13 jul/14 abr/15 $160,00 Real Oil Prices (US$/bbl) $140,00 $120,00 $100,00 $80,00 $60,00 $40,00 $20,00 $- IndexMundi (2016)

6 jan/01 out/01 jul/02 abr/03 jan/04 out/04 jul/05 abr/06 jan/07 out/07 jul/08 abr/09 jan/10 out/10 jul/11 abr/12 jan/13 out/13 jul/14 abr/15 $160,00 Real Oil Prices (US$/bbl) $140,00 $120,00 $100,00 $80,00 $60,00 $40,00 $20,00 $- IndexMundi (2016)

7 INDEX I. INTRODUCTION Evolution of oil prices Investments in ethanol automobile fuel Crisis in the ethanol domestic market Hypothesis / Objectives II. METHODOLOGY Data Econometric model III. RESULTS Short-term results Long-term results IV. CONCLUSIONS

8 Sales of new vehicles in Brazil 100% 90% 80% 70% 60% 50% 40% 30% 20% 10% 0% Ethanol Flex-fuel Gasoline ANFAVEA (2015)

9 Millions of tons UNICADATA (2016) Sugar Cane Harvest Harvest

10 Total Ehtanol (millions of m³) 30 Ethanol Production UNICADATA (2016) Harvest

11 Total Ehtanol (millions of m³) 30 Ethanol Production UNICADATA (2016) Harvest

12 Total Ehtanol (millions of m³) 30 Ethanol Production UNICADATA (2016) Harvest

13 INDEX I. INTRODUCTION Evolution of oil prices Investments in ethanol automobile fuel Crisis in the ethanol domestic market Hypothesis / Objectives II. METHODOLOGY Data Econometric model III. RESULTS Short-term results Long-term results IV. CONCLUSIONS

14 Price (R$) 5,0 Automobile Fuels Real Prices Ethanol 4,0 Gasoline 3,0 2,0 2001/ / / / / /12 ANP (2016) Year/Month

15 Price (R$) 5,0 Automobile Fuels Real Prices Ethanol 4,0 Gasoline 3,0 2,0 2001/ / / / / /12 ANP (2016) Year/Month

16 Millions of m³ 45 Fuel Consumption ANP (2016) Gasoline Ethanol

17 Millions of tons of sugar Sugar Production in Brazil Harvest

18 INDEX I. INTRODUCTION Evolution of oil prices Investments in ethanol automobile fuel Crisis in the ethanol domestic market Hypothesis / Objectives II. METHODOLOGY Data Econometric model III. RESULTS Short-term results Long-term results IV. CONCLUSIONS

19 Hypothesis 1. There is a common market dynamics between gasoline and ethanol fuels and also with sugar

20 Hypothesis 1. There is a common market dynamics between gasoline and ethanol fuels and also with sugar 2. A governmental interference altered fuel market dynamics through price control

21 Objectives Verify how the price control of vehicular gasoline affected the relationship among gasoline, ethanol and sugar over the period from 2001 to 2015.

22 INDEX I. INTRODUCTION Evolution of oil prices Investments in ethanol automobile fuel Crisis in the ethanol domestic market Hypothesis / Objectives II. METHODOLOGY Data Econometric model III. RESULTS Short-term results Long-term results IV. CONCLUSIONS

23 Data Time series of the price of gasoline, ethanol and sugar Periodicity: monthly data from July 2001 to December 2015, resulting in 174 observations

24 INDEX I. INTRODUCTION Evolution of oil prices Investments in ethanol automobile fuel Crisis in the ethanol domestic market Hypothesis / Objectives II. METHODOLOGY Data Econometric model III. RESULTS Short-term results Long-term results IV. CONCLUSIONS

25 Econometric Model Cointegration vector with an error correction model;

26 Econometric Model Cointegration vector with an error correction model This model quantifies the price transmission between the time series of gasoline, ethanol and sugar

27 INDEX I. INTRODUCTION Evolution of oil prices Investments in ethanol automobile fuel Crisis in the ethanol domestic market Hypothesis / Objectives II. METHODOLOGY Data Econometric model III. RESULTS Short-term results Long-term results IV. CONCLUSIONS

28 Short-Term Results The hypothesis that there was a governmental interference through the control of prices of vehicular gasoline is confirmed in short-term results;

29 Short-Term Results Gasoline was mostly influenced by its own price variation; Ethanol was influenced by itself and by the price of gasoline; Sugar was influenced mainly by its own deviations.

30 INDEX I. INTRODUCTION Evolution of oil prices Investments in ethanol automobile fuel Crisis in the ethanol domestic market Hypothesis / Objectives II. METHODOLOGY Data Econometric model III. RESULTS Short-term results Long-term results IV. CONCLUSIONS

31 Long-Term Results Ethanol series had the highest price speed adjustment, followed by sugar and gasoline in long-term results;

32 Long-Term Results Ethanol series had the highest price speed adjustment, followed by sugar and gasoline in long-term results; Price control has reduced the profit margin of vehicular ethanol;

33 Long-Term Results Ethanol series had the highest price speed adjustment, followed by sugar and gasoline in long-term results; Price control has reduced the profit margin of vehicular ethanol; There was a greater need for price adjustment for ethanol when compared to other products due to a crisis in the sector

34 INDEX I. INTRODUCTION Evolution of oil prices Investments in ethanol automobile fuel Crisis in the ethanol domestic market Hypothesis / Objectives II. METHODOLOGY Data Econometric model III. RESULTS Short-term results Long-term results IV. CONCLUSIONS

35 CONCLUSIONS Governmental interference changed the market dynamics; Gasoline prices were forced to be kept artificially lower harming ethanol production

36 CONCLUSIONS Governmental interference changed the market dynamics; Gasoline prices were forced to be kept artificially lower, harming ethanol production New policies should ensure that, in the short term, there is price transmission among gasoline, ethanol and sugar

37 Thank you!