Between fields and finance: tracking Brazil's commodity-stock moves under uncertainty

Purpose This study's objective is to evaluate how domestic and international economic policy uncertainty alters the time-varying correlations between Brazilian commodity futures (live cattle and soybeans) and the B3 stock index during 2014–2023. Design/methodology/approach We estimate dynamic conditional correlations with a DCC-GARCH model and relate them to uncertainty measures through ordinary least squares with Newey–West heteroskedasticity-robust errors. Findings Economic policy uncertainty raises commodity–stock correlations, but the increase is small in economic terms. The effect is weaker for soybeans, reflecting the thin trading volume of this contract on B3 and investors' stronger focus on underlying supply-demand conditions. Research limitations/implications Liquidity constraints on B3, especially for soybeans, limit the precision of the estimated correlations and may understate the reaction to shocks. Uncertainty is proxied by widely used policy-based indexes, which capture broad news flows but may miss sector-specific concerns. Originality/value This study links commodity–equity comovement in Brazil to both domestic and global uncertainty shocks and highlights how market depth constrains the transmission of uncertainty to local futures prices.