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Doctoral Thesis
DOI
https://doi.org/10.11606/T.11.2020.tde-20200111-135654
Document
Author
Full name
Maura Maria Demétrio Santiago
Institute/School/College
Knowledge Area
Date of Defense
Published
Piracicaba, 1997
Supervisor
Title in Portuguese
O endividamento da agricultura brasileira: uma análise econométrica
Keywords in Portuguese
AGRICULTURA
BRASIL
DÍVIDA
Abstract in Portuguese
A questão do débito agrícola no Brasil tem despertado considerável interesse, desde 1990, quando a inadimplência cresceu. Um modelo teórico é usado para testar diversas hipóteses relativas ao débito agrícola, tais como: um efeito positivo da taxa real de juros do crédito rural e um efeito negativo do índice de paridade agrícola (a relação entre o índice de preços recebidos pelos agricultores e o índice de preços pagos pelos agricultores pelos fatores usados na produção agrícola). Este trabalho, também, tem o objetivo de analisar os efeitos de intervenções governamentais sobre o débito agrícola Estas hipóteses foram testadas através dos testes de co-integração, precedidos pelos testes de raiz unitária, que mostraram que a taxa real de juros do crédito rural é estacionária e as séries de dívida agrícola e índice de paridade são estacionárias nas diferenças de primeira ordem e co-integradas. As séries temporais foram modeladas por modelos Auto-regressivos de Médias Móveis (ARIMA), de função de transferência e de intervenção, usando o enfoque de Box-Jenkins, incluindo um tem, o de correção de erro. Mostrou-se que o débito foi afetado positivamente pelo crescimento da taxa real de juros do crédito rural e negativamente pelo crescimento do índice de paridade agrícola. Os resultados sugerem que a queda no índice de preços recebidos pelos agricultores em 1995 e o impasse nas negociações da dívida foram responsáveis pelo aumento da inadimplência no crédito rural.
Title in English
Agricultural debt in Brazil: an econometric analysis
Abstract in English
The question of agricultural debt in Brazil has exerted considerable interest since 1990, when the volume of default increased. A theoretical model is used to test severa! hypothesis conceming the debt, such as a positive effect of real interest rate of rural credit, and a negative effect of increases in agricultura! parity ratio, which is the ratio of the index of price received by farmers to the index of prices paid by farmers for production inputs. This work also deals with the effects of govemmental interventions on the farm debt growth These hypothesis were checked through co-integration tests, preceded by a test of unit root which showed that interest rates were stationary and that series of debts and agricultura! parity ratio were stationary in their first arder diferences and co-integrated. The time series were also modelled by Autoregressive lntegrated Moving Average Models(ARIMA), transfer function and intervention analysis, using the Box-Jenkins approach, including an error correction term . lt was shown that the debt were positively affected by an increase of real interest rate of rural credit and negatively affected by an increase of the agricultura! parity index. The results also suggested that decreases in índex of prices recelved by farmers in 1995 in conjunction with the delay to debt negotiation were both responsible for the rise in debt stock.
 
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Publishing Date
2020-01-11
 
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