Impactos macroeconômicos sobre a formação de bolhas especulativas no mercado agropecuário brasileiro
Autor(a) principal: | |
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Data de Publicação: | 2023 |
Tipo de documento: | Dissertação |
Idioma: | por |
Título da fonte: | Repositório Institucional da UFSCAR |
Texto Completo: | https://repositorio.ufscar.br/handle/ufscar/18698 |
Resumo: | The volatility in commodity prices has direct implications for the financial results of companies and consumers. Not infrequently, such variations occur in a sharp way, and in non-compliance with market fundamentals, that is, in a speculative way. When this occurs, the effects on agents' expectations are even greater, as it negatively affects the price discovery and hedging processes. The main objective of the work is to identify the occurrence of speculative bubbles in the prices of selected commodities, also trying to determine the reason for the existence of such movements. For this, we used daily price series of the three most liquid commodities (feeder cattle, corn, coffee) traded on the Brazilian commodities and futures exchange market, B³, as well as macroeconomic variables (interest rate, exchange rate, economic activity index, money supply as a percentage of the GDP, stock index Bovespa, brazilian consumer price index), for the period between 2013 and 2021. The Generalized Supreme Augmented Dickey-Fuller (GSADF) and Backward Supreme Augmented Dickey-Fuller (BSADF) tests were used to detect and datestamp the explosive periods in prices, and the Poisson regression model for inspection and understanding of the determining macroeconomic factors in the formation of bubbles. As a result, slightly explosive processes were found in all commodities for the analyzed period, although infrequent. Concerning the macroeconomic effects, money supply, stock index and inflation had a positive impact on the emergence of bubbles, while interest rates and economic growth had negative effects. |
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Cabrine, Carlos Guilherme das NevesCruz Júnior, José Césarhttp://lattes.cnpq.br/0086426315229286Silva Júnior, Geraldo Edmundohttp://lattes.cnpq.br/5138808982229139http://lattes.cnpq.br/31109165386348912e93d2ef-8fb1-4524-919a-a81a0ec267702023-10-03T00:21:40Z2023-10-03T00:21:40Z2023-04-20CABRINE, Carlos Guilherme das Neves. Impactos macroeconômicos sobre a formação de bolhas especulativas no mercado agropecuário brasileiro. 2023. Dissertação (Mestrado em Economia) – Universidade Federal de São Carlos, Sorocaba, 2023. Disponível em: https://repositorio.ufscar.br/handle/ufscar/18698.https://repositorio.ufscar.br/handle/ufscar/18698The volatility in commodity prices has direct implications for the financial results of companies and consumers. Not infrequently, such variations occur in a sharp way, and in non-compliance with market fundamentals, that is, in a speculative way. When this occurs, the effects on agents' expectations are even greater, as it negatively affects the price discovery and hedging processes. The main objective of the work is to identify the occurrence of speculative bubbles in the prices of selected commodities, also trying to determine the reason for the existence of such movements. For this, we used daily price series of the three most liquid commodities (feeder cattle, corn, coffee) traded on the Brazilian commodities and futures exchange market, B³, as well as macroeconomic variables (interest rate, exchange rate, economic activity index, money supply as a percentage of the GDP, stock index Bovespa, brazilian consumer price index), for the period between 2013 and 2021. The Generalized Supreme Augmented Dickey-Fuller (GSADF) and Backward Supreme Augmented Dickey-Fuller (BSADF) tests were used to detect and datestamp the explosive periods in prices, and the Poisson regression model for inspection and understanding of the determining macroeconomic factors in the formation of bubbles. As a result, slightly explosive processes were found in all commodities for the analyzed period, although infrequent. Concerning the macroeconomic effects, money supply, stock index and inflation had a positive impact on the emergence of bubbles, while interest rates and economic growth had negative effects.A variação nos preços de commodities tem implicações diretas nos resultados financeiros de empresas e consumidores. Não raramente, tais variações ocorrem de maneira acentuada, e em não conformidade com os fundamentos do mercado, ou seja, de maneira especulativa. Quando isso ocorre, os efeitos sobre as expectativas dos agentes são ainda maiores, pois afeta negativamente os processos de descoberta e de proteção de preços. O principal objetivo do trabalho é identificar a ocorrência de bolhas especulativas nos preços de commodities selecionadas, procurando determinar a razão para a existência de tais movimentos. Para isso, utilizaram-se séries de preços diários das três commodities com maior liquidez (boi gordo, café, milho) negociadas na bolsa de mercadorias e futuros brasileira, B³, assim como variáveis macroeconômicas (taxa de juros, taxa de câmbio, índice de atividade econômica, estoque de moeda como porcentagem do PIB, índice Bovespa, índice de preços ao consumidor amplo), para o período entre 2013 e 2021. Foram adotados os testes Generalized Supremum Augmented Dickey-Fuller (GSADF) e Backward Supremum Augmented Dickey-Fuller (BSADF) para detecção e datação dos períodos explosivos nos preços, e o modelo de regressão de Poisson para inspeção e compreensão dos fatores macroeconômicos determinantes para a formação de bolhas. Como resultados foram encontrados processos levemente explosivos em todas as commodities para o período analisado, embora não frequentes. Com relação aos impactos macroeconômicos, o estoque de moeda, o Ibovespa e a inflação apresentaram impactos positivos sobre o surgimento de bolhas, enquanto a taxa de juros e o crescimento econômico demonstraram efeitos negativos.Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)porUniversidade Federal de São CarlosCâmpus SorocabaPrograma de Pós-Graduação em Economia - PPGEc-SoUFSCarAttribution-NonCommercial-NoDerivs 3.0 Brazilhttp://creativecommons.org/licenses/by-nc-nd/3.0/br/info:eu-repo/semantics/openAccessMercado FuturoBolha EspeculativaCommodities AgropecuáriasMacroeconomiaFuture MarketSpeculative BubblesAgricultural CommoditiesMacroeconomicsCIENCIAS SOCIAIS APLICADAS::ECONOMIA::ECONOMIAS AGRARIA E DOS RECURSOS NATURAISImpactos macroeconômicos sobre a formação de bolhas especulativas no mercado agropecuário brasileiroMacroeconomic impacts on the formation of speculative bubbles in the brazilian agricultural marketinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesis6006000165b541-669c-44a5-9b4e-037e18883bf2reponame:Repositório Institucional da UFSCARinstname:Universidade Federal de São Carlos (UFSCAR)instacron:UFSCARORIGINALDissertação_Guilherme_Cabrine-FINAL.pdfDissertação_Guilherme_Cabrine-FINAL.pdfDissertação final Guilherme Cabrineapplication/pdf805487https://repositorio.ufscar.br/bitstream/ufscar/18698/1/Disserta%c3%a7%c3%a3o_Guilherme_Cabrine-FINAL.pdf7de5048b8c7e02ba9f6cce14b644cb07MD51CC-LICENSElicense_rdflicense_rdfapplication/rdf+xml; charset=utf-8810https://repositorio.ufscar.br/bitstream/ufscar/18698/2/license_rdff337d95da1fce0a22c77480e5e9a7aecMD52TEXTDissertação_Guilherme_Cabrine-FINAL.pdf.txtDissertação_Guilherme_Cabrine-FINAL.pdf.txtExtracted texttext/plain112502https://repositorio.ufscar.br/bitstream/ufscar/18698/3/Disserta%c3%a7%c3%a3o_Guilherme_Cabrine-FINAL.pdf.txt4c5a5c639d1bc2464a576c364d185733MD53ufscar/186982024-05-14 17:16:20.664oai:repositorio.ufscar.br:ufscar/18698Repositório InstitucionalPUBhttps://repositorio.ufscar.br/oai/requestopendoar:43222024-05-14T17:16:20Repositório Institucional da UFSCAR - Universidade Federal de São Carlos (UFSCAR)false |
dc.title.por.fl_str_mv |
Impactos macroeconômicos sobre a formação de bolhas especulativas no mercado agropecuário brasileiro |
dc.title.alternative.eng.fl_str_mv |
Macroeconomic impacts on the formation of speculative bubbles in the brazilian agricultural market |
title |
Impactos macroeconômicos sobre a formação de bolhas especulativas no mercado agropecuário brasileiro |
spellingShingle |
Impactos macroeconômicos sobre a formação de bolhas especulativas no mercado agropecuário brasileiro Cabrine, Carlos Guilherme das Neves Mercado Futuro Bolha Especulativa Commodities Agropecuárias Macroeconomia Future Market Speculative Bubbles Agricultural Commodities Macroeconomics CIENCIAS SOCIAIS APLICADAS::ECONOMIA::ECONOMIAS AGRARIA E DOS RECURSOS NATURAIS |
title_short |
Impactos macroeconômicos sobre a formação de bolhas especulativas no mercado agropecuário brasileiro |
title_full |
Impactos macroeconômicos sobre a formação de bolhas especulativas no mercado agropecuário brasileiro |
title_fullStr |
Impactos macroeconômicos sobre a formação de bolhas especulativas no mercado agropecuário brasileiro |
title_full_unstemmed |
Impactos macroeconômicos sobre a formação de bolhas especulativas no mercado agropecuário brasileiro |
title_sort |
Impactos macroeconômicos sobre a formação de bolhas especulativas no mercado agropecuário brasileiro |
author |
Cabrine, Carlos Guilherme das Neves |
author_facet |
Cabrine, Carlos Guilherme das Neves |
author_role |
author |
dc.contributor.authorlattes.por.fl_str_mv |
http://lattes.cnpq.br/3110916538634891 |
dc.contributor.author.fl_str_mv |
Cabrine, Carlos Guilherme das Neves |
dc.contributor.advisor1.fl_str_mv |
Cruz Júnior, José César |
dc.contributor.advisor1Lattes.fl_str_mv |
http://lattes.cnpq.br/0086426315229286 |
dc.contributor.advisor-co1.fl_str_mv |
Silva Júnior, Geraldo Edmundo |
dc.contributor.advisor-co1Lattes.fl_str_mv |
http://lattes.cnpq.br/5138808982229139 |
dc.contributor.authorID.fl_str_mv |
2e93d2ef-8fb1-4524-919a-a81a0ec26770 |
contributor_str_mv |
Cruz Júnior, José César Silva Júnior, Geraldo Edmundo |
dc.subject.por.fl_str_mv |
Mercado Futuro Bolha Especulativa Commodities Agropecuárias Macroeconomia |
topic |
Mercado Futuro Bolha Especulativa Commodities Agropecuárias Macroeconomia Future Market Speculative Bubbles Agricultural Commodities Macroeconomics CIENCIAS SOCIAIS APLICADAS::ECONOMIA::ECONOMIAS AGRARIA E DOS RECURSOS NATURAIS |
dc.subject.eng.fl_str_mv |
Future Market Speculative Bubbles Agricultural Commodities Macroeconomics |
dc.subject.cnpq.fl_str_mv |
CIENCIAS SOCIAIS APLICADAS::ECONOMIA::ECONOMIAS AGRARIA E DOS RECURSOS NATURAIS |
description |
The volatility in commodity prices has direct implications for the financial results of companies and consumers. Not infrequently, such variations occur in a sharp way, and in non-compliance with market fundamentals, that is, in a speculative way. When this occurs, the effects on agents' expectations are even greater, as it negatively affects the price discovery and hedging processes. The main objective of the work is to identify the occurrence of speculative bubbles in the prices of selected commodities, also trying to determine the reason for the existence of such movements. For this, we used daily price series of the three most liquid commodities (feeder cattle, corn, coffee) traded on the Brazilian commodities and futures exchange market, B³, as well as macroeconomic variables (interest rate, exchange rate, economic activity index, money supply as a percentage of the GDP, stock index Bovespa, brazilian consumer price index), for the period between 2013 and 2021. The Generalized Supreme Augmented Dickey-Fuller (GSADF) and Backward Supreme Augmented Dickey-Fuller (BSADF) tests were used to detect and datestamp the explosive periods in prices, and the Poisson regression model for inspection and understanding of the determining macroeconomic factors in the formation of bubbles. As a result, slightly explosive processes were found in all commodities for the analyzed period, although infrequent. Concerning the macroeconomic effects, money supply, stock index and inflation had a positive impact on the emergence of bubbles, while interest rates and economic growth had negative effects. |
publishDate |
2023 |
dc.date.accessioned.fl_str_mv |
2023-10-03T00:21:40Z |
dc.date.available.fl_str_mv |
2023-10-03T00:21:40Z |
dc.date.issued.fl_str_mv |
2023-04-20 |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.citation.fl_str_mv |
CABRINE, Carlos Guilherme das Neves. Impactos macroeconômicos sobre a formação de bolhas especulativas no mercado agropecuário brasileiro. 2023. Dissertação (Mestrado em Economia) – Universidade Federal de São Carlos, Sorocaba, 2023. Disponível em: https://repositorio.ufscar.br/handle/ufscar/18698. |
dc.identifier.uri.fl_str_mv |
https://repositorio.ufscar.br/handle/ufscar/18698 |
identifier_str_mv |
CABRINE, Carlos Guilherme das Neves. Impactos macroeconômicos sobre a formação de bolhas especulativas no mercado agropecuário brasileiro. 2023. Dissertação (Mestrado em Economia) – Universidade Federal de São Carlos, Sorocaba, 2023. Disponível em: https://repositorio.ufscar.br/handle/ufscar/18698. |
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https://repositorio.ufscar.br/handle/ufscar/18698 |
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Universidade Federal de São Carlos Câmpus Sorocaba |
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