TRANSMISSÃO DE PREÇOS NO MERCADO DE BIOETANOL ENTRE ALAGOAS E PERNAMBUCO: UMA ANÁLISE DE COINTEGRAÇÃO

In the present study we analyzed the transmission of price of anhydrous and hydrous bioethanol in the states of Alagoas and Pernambuco, considering the existence of transaction costs. The goal was to capture and observe the process of the Law of One Price (LOP). To reach this, we used time series of prices of anhydrous and hydrous ethanol of mentioned states, from January 2003 to December 2013. Descriptive statistical analysis of the data was performed, there were estimated statistical unit root tests, cointegration tests of Johansen (1988) and the Hansen and Seotest (2002) to verify if the cointegration between those markets has linear or nonlinear elements. After the tests, we estimated the model Vector Error-Correction. The results show that the series of the price differential of anhydrous ethanol and hydrous ethanol have a high degree of cointegration between the states of Alagoas and Pernambuco, with effects in short and long term. This fact suggests that are non significative arbitrages in prices transactions, therefore, possible transaction costs has reduced effects in the transmission price dynamics between those markets