Revista de Economia e Sociologia Rural
http://www.resr.periodikos.com.br/article/doi/10.1590/1806-9479.2025.293824
Revista de Economia e Sociologia Rural
ARTIGO ORIGINAL

Transmissão de risco e volatilidade no setor pecuário do Paraná: uma aplicação do modelo TVP-VAR

Transmission of risk and volatility in the Paraná livestock market: an application of the TVP-VAR model

Tomás Fernandes Torre; Julyerme Matheus Tonin; Carlos Oñate-Paredes

http://dx.doi.org/10.1590/1806-9479.2025.293824 resr, vol.63, e293824, 2025
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Resumo

Este estudo analisa a transmissão de risco e volatilidade no mercado pecuário do Paraná, Brasil, usando o modelo TVP-VAR, no período de janeiro de 1995 a março de 2024. Examina conectividade, spillovers de volatilidade e assimetria, com foco na produção de carne bovina e nas interações entre commodities pecuárias e grãos. Evidências mostram que crises internacionais ampliam a transferência de volatilidade, afetando mais os mercados internos. Ao compreender essas dinâmicas, o estudo contribui para o desenvolvimento de estratégias mais avançadas de estabilidade de preços e gestão de riscos no setor pecuário, com implicações para as políticas econômicas regionais e nacionais.

Palavras-chave

transmissão de risco, volatilidade, mercado de pecuária, modelo TVP-VAR, Paraná

Abstract

Abstract: This study analyzes the transmission of risk and volatility in the cattle market in Paraná, Brazil, using the TVP-VAR model, from January 1995 to March 2024. It examines connectivity, volatility spillovers and asymmetry, focusing on beef production and interactions between livestock commodities and grains. Evidence shows that international crises amplify the transfer of volatility, affecting domestic markets more. By understanding these dynamics, the study contributes to the development of more advanced price stability and risk management strategies in the livestock sector, with implications for regional and national economic policies.

Keywords

risk transmission, volatility, livestock market, TVP-VAR model, Paraná

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Submitted date:
01/31/2025

Accepted date:
05/07/2025

6865853ea9539570472256c4 resr Articles
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