Integration and hedging efficiency between Brazilian and US ethanol markets

Detalhes bibliográficos
Autor(a) principal: Capitani, Daniel Henrique Dario
Data de Publicação: 2018
Outros Autores: Cruz Junior, José César, Tonin, Julyerme Matheus
Tipo de documento: Artigo
Idioma: eng
por
Título da fonte: Contextus (Fortaleza. Online)
Texto Completo: http://periodicos.ufc.br/contextus/article/view/32369
Resumo: This study proposes to assess the ethanol market integration between U.S. and Brazil focusing on the investigation of the existence of an international ethanol price reference. We estimate a structural vector autoregressive model with error correction (SVEC) while considering not only ethanol sugar and corn prices in Brazil and in the U.S. but also international oil prices. Then we examine simultaneous hedging strategies by considering domestic and foreign futures contracts positions in the CME, NYMEX, and BM&FBOVESPA futures exchanges. Our results highlight a weak integration between U.S. and Brazil ethanol markets, as well as low levels of hedge effectiveness in using foreign ethanol futures contracts, which suggests the absence of a price reference in the global market.
id UFC-12_d1c605ee36038f2f2d4819d68c5d24f4
oai_identifier_str oai:periodicos.ufc:article/32369
network_acronym_str UFC-12
network_name_str Contextus (Fortaleza. Online)
repository_id_str
spelling Integration and hedging efficiency between Brazilian and US ethanol marketsIntegración y eficiencia de hedge en los mercados de etanol de Brasil y Estados UnidosIntegração e eficiência do hedge nos mercados de etanol do Brasil e EUAMarket integration. Time series modelling. Hedge effectiveness. Ethanol.Integración de mercado. Modelos de series temporales. Efectividad de cobertura. Etanol.Integração de mercado. Modelos de séries temporais. Efetividade do hedge. Etanol.This study proposes to assess the ethanol market integration between U.S. and Brazil focusing on the investigation of the existence of an international ethanol price reference. We estimate a structural vector autoregressive model with error correction (SVEC) while considering not only ethanol sugar and corn prices in Brazil and in the U.S. but also international oil prices. Then we examine simultaneous hedging strategies by considering domestic and foreign futures contracts positions in the CME, NYMEX, and BM&FBOVESPA futures exchanges. Our results highlight a weak integration between U.S. and Brazil ethanol markets, as well as low levels of hedge effectiveness in using foreign ethanol futures contracts, which suggests the absence of a price reference in the global market.Este trabajo objetiva evaluar la integración en los mercados de etanol de EEUU y Brasil, investigando la existencia de un precio de referencia internacional a los agentes de esto sector. El análisis de integración de mercado se evalúa a partir de un modelo autorregresivo vector estructural con corrección de errores (SVEC), considerando los precios domésticos de etanol, maíz y azúcar en ambos mercados, y los precios internacionales de petróleo. Posteriormente, se simula la eficiencia de la cobertura considerando las operaciones con contratos futuros de etanol en CME, NYMEX y BM&FBOVESPA. Los resultados indican que estos mercados tienen una baja integración, respondiendo mayoritariamente a variables domésticas. Además, se evidencia una eficiencia reducida en la operación de cobertura cruzada con los contratos futuros de etanol en otras bolsas, sugiriendo, por lo tanto, una baja integración de los precios en el mercado internacional.Este trabalho visa avaliar o grau de integração nos mercados de etanol dos EUA e Brasil, investigando a existência de um preço como referência internacional que possa servir de base aos agentes dessa cadeia produtiva. Foi estimado um modelo autorregressivo vetorial estrutural com correção de erros (SVEC), considerando tanto os preços de etanol, milho e açúcar, no Brasil e nos Estados Unidos, quanto o preço internacional do petróleo. Posteriormente, foram examinadas eficiências de estratégias simultâneas de hedge considerando operações com os contratos futuros de etanol na CME, NYMEX e BM&FBOVESPA. Em geral, os resultados indicam que tais mercados possuem baixo grau de integração, respondendo majoritariamente a variáveis domésticas. Além disso, evidencia-se uma baixa eficiência na operação de hedge cruzado com contratos futuros de etanol em outras bolsas, sugerindo, portanto, uma baixa integração dos preços no mercado internacional.FEAAC/UFC2018-04-11info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionPesquisa aplicada; Método quantitativo.application/pdfapplication/vnd.openxmlformats-officedocument.spreadsheetml.sheetapplication/pdfapplication/ziphttp://periodicos.ufc.br/contextus/article/view/3236910.19094/contextus.v16i1.1041Contextus - Contemporary Journal of Economics and Management; Vol 16 No 1: Jan/Apr 2018; 93-117Contextus – Revista Contemporánea de Economía y Gestión; Vol. 16 Núm. 1: enero/abril 2018; 93-117Contextus – Revista Contemporânea de Economia e Gestão; v. 16 n. 1: jan/abr 2018; 93-1172178-92581678-2089reponame:Contextus (Fortaleza. Online)instname:Universidade Federal do Ceará (UFC)instacron:UFCengporhttp://periodicos.ufc.br/contextus/article/view/32369/pdfhttp://periodicos.ufc.br/contextus/article/view/32369/98292http://periodicos.ufc.br/contextus/article/view/32369/98293http://periodicos.ufc.br/contextus/article/view/32369/165906http://periodicos.ufc.br/contextus/article/view/32369/165907http://periodicos.ufc.br/contextus/article/view/32369/165908http://periodicos.ufc.br/contextus/article/view/32369/165909Copyright (c) 2018 Revista: apenas para a 1a. publicaçãohttps://creativecommons.org/licenses/by-nc/4.0info:eu-repo/semantics/openAccessCapitani, Daniel Henrique DarioCruz Junior, José CésarTonin, Julyerme Matheus2021-11-22T12:06:09Zoai:periodicos.ufc:article/32369Revistahttp://periodicos.ufc.br/contextusPUBhttp://periodicos.ufc.br/contextus/oairevistacontextus@ufc.br2178-92581678-2089opendoar:2021-11-22T12:06:09Contextus (Fortaleza. Online) - Universidade Federal do Ceará (UFC)false
dc.title.none.fl_str_mv Integration and hedging efficiency between Brazilian and US ethanol markets
Integración y eficiencia de hedge en los mercados de etanol de Brasil y Estados Unidos
Integração e eficiência do hedge nos mercados de etanol do Brasil e EUA
title Integration and hedging efficiency between Brazilian and US ethanol markets
spellingShingle Integration and hedging efficiency between Brazilian and US ethanol markets
Capitani, Daniel Henrique Dario
Market integration. Time series modelling. Hedge effectiveness. Ethanol.
Integración de mercado. Modelos de series temporales. Efectividad de cobertura. Etanol.
Integração de mercado. Modelos de séries temporais. Efetividade do hedge. Etanol.
title_short Integration and hedging efficiency between Brazilian and US ethanol markets
title_full Integration and hedging efficiency between Brazilian and US ethanol markets
title_fullStr Integration and hedging efficiency between Brazilian and US ethanol markets
title_full_unstemmed Integration and hedging efficiency between Brazilian and US ethanol markets
title_sort Integration and hedging efficiency between Brazilian and US ethanol markets
author Capitani, Daniel Henrique Dario
author_facet Capitani, Daniel Henrique Dario
Cruz Junior, José César
Tonin, Julyerme Matheus
author_role author
author2 Cruz Junior, José César
Tonin, Julyerme Matheus
author2_role author
author
dc.contributor.author.fl_str_mv Capitani, Daniel Henrique Dario
Cruz Junior, José César
Tonin, Julyerme Matheus
dc.subject.por.fl_str_mv Market integration. Time series modelling. Hedge effectiveness. Ethanol.
Integración de mercado. Modelos de series temporales. Efectividad de cobertura. Etanol.
Integração de mercado. Modelos de séries temporais. Efetividade do hedge. Etanol.
topic Market integration. Time series modelling. Hedge effectiveness. Ethanol.
Integración de mercado. Modelos de series temporales. Efectividad de cobertura. Etanol.
Integração de mercado. Modelos de séries temporais. Efetividade do hedge. Etanol.
description This study proposes to assess the ethanol market integration between U.S. and Brazil focusing on the investigation of the existence of an international ethanol price reference. We estimate a structural vector autoregressive model with error correction (SVEC) while considering not only ethanol sugar and corn prices in Brazil and in the U.S. but also international oil prices. Then we examine simultaneous hedging strategies by considering domestic and foreign futures contracts positions in the CME, NYMEX, and BM&FBOVESPA futures exchanges. Our results highlight a weak integration between U.S. and Brazil ethanol markets, as well as low levels of hedge effectiveness in using foreign ethanol futures contracts, which suggests the absence of a price reference in the global market.
publishDate 2018
dc.date.none.fl_str_mv 2018-04-11
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Pesquisa aplicada; Método quantitativo.
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://periodicos.ufc.br/contextus/article/view/32369
10.19094/contextus.v16i1.1041
url http://periodicos.ufc.br/contextus/article/view/32369
identifier_str_mv 10.19094/contextus.v16i1.1041
dc.language.iso.fl_str_mv eng
por
language eng
por
dc.relation.none.fl_str_mv http://periodicos.ufc.br/contextus/article/view/32369/pdf
http://periodicos.ufc.br/contextus/article/view/32369/98292
http://periodicos.ufc.br/contextus/article/view/32369/98293
http://periodicos.ufc.br/contextus/article/view/32369/165906
http://periodicos.ufc.br/contextus/article/view/32369/165907
http://periodicos.ufc.br/contextus/article/view/32369/165908
http://periodicos.ufc.br/contextus/article/view/32369/165909
dc.rights.driver.fl_str_mv Copyright (c) 2018 Revista: apenas para a 1a. publicação
https://creativecommons.org/licenses/by-nc/4.0
info:eu-repo/semantics/openAccess
rights_invalid_str_mv Copyright (c) 2018 Revista: apenas para a 1a. publicação
https://creativecommons.org/licenses/by-nc/4.0
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
application/vnd.openxmlformats-officedocument.spreadsheetml.sheet
application/pdf
application/zip
dc.publisher.none.fl_str_mv FEAAC/UFC
publisher.none.fl_str_mv FEAAC/UFC
dc.source.none.fl_str_mv Contextus - Contemporary Journal of Economics and Management; Vol 16 No 1: Jan/Apr 2018; 93-117
Contextus – Revista Contemporánea de Economía y Gestión; Vol. 16 Núm. 1: enero/abril 2018; 93-117
Contextus – Revista Contemporânea de Economia e Gestão; v. 16 n. 1: jan/abr 2018; 93-117
2178-9258
1678-2089
reponame:Contextus (Fortaleza. Online)
instname:Universidade Federal do Ceará (UFC)
instacron:UFC
instname_str Universidade Federal do Ceará (UFC)
instacron_str UFC
institution UFC
reponame_str Contextus (Fortaleza. Online)
collection Contextus (Fortaleza. Online)
repository.name.fl_str_mv Contextus (Fortaleza. Online) - Universidade Federal do Ceará (UFC)
repository.mail.fl_str_mv revistacontextus@ufc.br
_version_ 1798045752627298304

Registros relacionados