Brazilian agricultural products: is there persistence in domestic prices?

The main aim of this paper is to verify the degree of persistence of daily domestic prices of the following Brazilian agricultural products: rice, live cattle, arabica coffee, robusta coffee, corn, soybeans, and wheat. As methodology, the study used the fractional integration approach to test for long-memory behavior in the time series, more specifically, the Exact Local Whittle (ELW). The research also tested for structural breaks. The results revealed high degrees of persistence for all prices, even for estimates for subsamples. That is, the I(1) hypothesis (non-stationarity) cannot be rejected, showing a lack of mean reversion towards the long-run price level for all prices of agricultural products. Thus, in the case of exogenous shocks, actions need to be taken by economic agents, so that price series return to their original levels.