ABSTRACT
This study evaluates the Brazilian agricultural commodities market and the dollar-real exchange price variation using the multifractal detrended fluctuations analysis methodology. We investigated the period from January 1, 2019 to September 25, 2019, outside the COVID-19 pandemic, and from January 1, 2020 to September 25, 2020, during the COVID-19 pandemic. We verified the fluctuations of commodities and dollar-real exchange prices during the pandemic caused by COVID-19 showed a record price. The results of Hurst exponent and multifractal parameters α0, w, and r indicate that during the COVID-19 pandemic, sugar was the most efficient commodity, while pork the less one. Compared to the identical months in 2019, the dollar-real exchange was the most efficient market, while ethanol was the least efficient. © 2022 World Scientific Publishing Company.