Análise empírica da volatilidade do etanol: aplicação de modelos ARCH nos preços à vista e futuros no período 2011-2015

Esta pesquisa teve a finalidade de analisar a dinâmica e a transmissão da volatilidade dos preços à vista e futuros do etanol pelos modelos ARCH, GARCH, EGARCH e TARCH. A amostra utilizada nesta pesquisa é composta pelas cotações diárias do etanol hidratado spot negociado na base de Paulínia (SP), disponibilizadas pelo CEPEA/ESALQ e das cotações futuro na CBOT (Chicago Board of Trade) Denatured Fuel Ethanol Futures), no período de 03/10/2011 a 27/11/2015, em um total de 2.032 observações. Dentre os modelos analisados, destaca-se que os modelos EGARCH (2,2) para o spot e EGARCH (1,2) para o futuro são os que possuem o melhor ajustamento da série, considerado os Critérios de Informação de Akaike (AIC) e de Schwarz (SC), demonstrando um efeito assimetria principalmente na série de retornos futuros do etanol, e mostrando que os impactos resultantes dos choques positivos e negativos foram diferenciados na volatilidade, dentro do período analisado.

Dynamic Responses of Standard and Poor’s Regional Bank Index to the U.S. Fear Index, VIX

This study examines the reaction of the Standard and Poor’s Regional Bank Index (SPRB) to the U.S. equity market fear index (i.e., the Chicago Board of Trade Volatility Index [VIX]). The VIX is designed to perform as a leading indicator of the volatility in equity markets. However, practitioners observe many periods of divergence between the VIX and S&P 500. Our paper examines the daily data for the period of 2009 through 2019. We show that once the effects of consumer confidence and capacity utilization are accounted for, there is a negative association between the VIX and regional bank performance.

ANALYSIS OF SOYBEAN TRADE STRATEGIES WITH FORWARD CONTRACTS ON THE CHICAGO STOCK EXCHANGE AND ON THE SPOT MARKET IN CASCAVEL, BRAZIL

In the wake of frequent variables that interfere with the agricultural market, rural agents (producers) suffer liabilities due to their decisions, especially at the moment of commercialization. The forward market is precisely a strategy that may reduce the risks in oscillating prices of commodities and makes way towards the future formation of prices. Current paper compares the commercialization of soybeans in the forward and spot markets in terms of prices practiced between the harvest years 2011/2012 and 2016/2017. Data provided by the Chicago Board of Trade (CBOT) were used as reference for forward contracts traded in September with maturation in January and spot prices practiced in January retrieved from data from Coopavel in Cascavel PR Brazil. Forward contracts traded in September with maturity in January had a better performance when compared to January spot prices for harvests 2011/2012, 2012/2013, 2013/2014. Due to fluctuations in weather and market trends, they were the factors that weighed most on harvests 2014/2015, 2015/2016 and 2016/2017 for better prices on most of the maturities for January on the spot market. Results show that, although spot price was better in certain periods, the marketing strategy on forward markets is highly interesting since the producer can employ profits and have guarantees against market risks

EFFECTIVE CROSS HEDGING: EVIDENCE FROM PHYSICAL CRUDE PALM OIL AND ITS INTER-RELATED AGRICULTURAL FUTURES CONTRACTS

Since its establishment, Crude Palm Oil futures contract (FCPO) has been used to directly hedge its physical crude palm oil (CPO). However, due to the excessive speculation activities on crude palm oil futures market, it has been said to be no longer an effective hedging tool to mitigate the price risk of its underlying physical market. This triggers the need for market players to find possible alternatives to ensure that the hedging role can be executed effectively. Thus this investigation attempts to examine whether other inter-related grains and oil seed futures contracts could serve as effective cross-hedging mechanisms for the CPO. Weekly data of inter-related futures contracts from Chicago Board of Trade (CBOT) and Dalian Commodity Exchange (DCE) are employed to cross hedge the physical crude palm oil prices. The study starts from 2006 until 2016. Empirical results indicate that FCPO is still the best futures contract for hedging purposes while Chicago Soybean (CBOTBO) provides second best alternative if cross-hedging is considered. Keywords: Crude palm oil, Crude palm oil futures, Cross Hedging, Optimal Hedge Ratio, Effective Hedging