Integration and hedging efficiency between Brazilian and US ethanol markets
Autor(a) principal: | |
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Data de Publicação: | 2018 |
Outros Autores: | , |
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. |
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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 |
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1798045752627298304 |