Derivativos sobre Commodities Influenciam a Volatilidade dos Preços à Vista? Uma análise nos mercados de boi gordo e café arábica no Brasil

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.


Subject(s):
Issue Date:
Sep 30 2014
Publication Type:
Journal Article
PURL Identifier:
http://purl.umn.edu/211665
Published in:
Brazilian Journal of Rural Economy and Sociology (Revista de Economia e Sociologia Rural-RESR), Volume 52, Number 3
Page range:
417-436
Total Pages:
20
JEL Codes:
Q14; G13; G32.
Series Statement:
Volume 52
Number 03




 Record created 2017-04-01, last modified 2017-08-28

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