Bolhas Racionais no Mercado de Combustíveis
Resumen
With the emergence of flex-fuel vehicles, consumers now have a varied choice
of fuels, adopting economic and environmental criteria when choosing between
gasoline, ethanol and diesel. This factor resulted in fuel price speculation, which
affected both consumption and the Government's policies to contain inflationary
processes in recent years. The main objective of this work was to discuss and
date the presence of speculative bubbles in the prices of gasoline, ethanol, diesel
and LPG in the five regions of Brazil, using the Generalized Supreme Augmented
Dickey-Fuller (GSADF) and GSADF Panel models for data in regional panel. The
average resale prices made available by the National Petroleum, Natural Gas
and Biofuels Agency (ANP) were used, with a weekly frequency starting on
December 30, 2012 and ending on December 4, 2022. In the development, a
historical survey was carried out and empirical studies of recent studies regarding
different bubble detection methods for different assets. The panel models
presented statistically significant results and made it possible to date bubbles for
the five Brazilian regions, with periods of explosiveness in 2015, 2017, 2018 and
2021, indicating long periods of duration until the collapse of the bubbles. The
results confirmed initial expectations and validated recent global events that
would theoretically affect agents' speculative behavior.
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