Please use this identifier to cite or link to this item: http://repositorio.unicamp.br/jspui/handle/REPOSIP/87698
Type: Artigo
Title: Derivativos sobre commodities influenciam a volatilidade dos preços à vista? uma análise nos mercados de boi gordo e café arábica no Brasil
Author: Silveira, Rodrigo Lanna Franco da
Maciel, Leandro
Ballini, Rosangela
Abstract: The bullish movement in commodity prices during the 2000s can be explained based on structural and conjectural factors. In addition, it was argued that this price movement was amplified by the contagion from the derivative markets. In this context, these contracts were one of the aspects responsible for an increase in cash price volatility. Thus, this paper evaluated the influence of trading activity (volume and open interest) and futures price volatility in spot price volatility for arabica coffee and live cattle in Brazilian markets. Granger causality tests, forecast error variance decomposition, considering vector autoregression models, and tests of causality in variance, based on the cross-correlation function and on the idea of Lagrange multiplier were conducted. The results showed that, during the period considered, in most cases, an unexpected movement in trading volume and variability of futures prices changed the pattern of spot price volatility.
Além de fatores conjunturais da economia mundial e estruturais relativos à oferta e demanda global por commodities, aponta-se que o movimento altista dos preços destes produtos na década de 2000 pode também ser explicado pelo maior contágio dos derivativo
metadata.dc.description.abstractalternative: The bullish movement in commodity prices during the 2000s can be explained based on structural and conjectural factors. In addition, it was argued that this price movement was amplified by the contagion from the derivative markets. In this context, these
Subject: Mercado futuro
Mercadorias
Volatilidade (Finanças)
Causalidade
Country: Brasil
Editor: Sociedade Brasileira de Economia e Sociologia Rural
Citation: Revista De Economia E Sociologia Rural. Sociedade Brasileira De Economia E Sociologia Rural, v. 52, n. 3, p. 417 - 436, 2014.
Rights: aberto
Aberto
Identifier DOI: 10.1590/S0103-20032014000300001
Address: http://www.scielo.br/scielo.php?script=sci_arttext&pid=S0103-20032014000300001
Date Issue: 2014
Appears in Collections:FEEC - Artigos e Outros Documentos
IE - Artigos e Outros Documentos

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