Modelo estrutural de previsão de preço e volume negociado de minério de ferro
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Data
2008-05-30
Orientador(res)
Ferreira, Pedro Cavalcanti Gomes
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Resumo
This study presents a forecasting model for prices and volumes traded in the seaborne iron ore market. A VAR model (with endogenous variables with one lag) was developed, using oil prices (Brent) and an industrial production index. After testing for a unit root in the variables and discovering that none of them were stationary, the co-integration test showed that there was a long term relation between them, which was in itself stationary, eliminating the possibility of a spurious regression. As a result, the VAR model was seen to be consistent, with high adherence to forecast prices and volumes for seaborne trade, in spite of some short term imprecision.