A Financeirização do Mercado Futuro Agropecuário no Brasil

• Autor(a) principal: Silva, Viviane Araujo da
• Data de Publicação: 2012
• Tipo de documento: Dissertação
• Idioma: por
• Título da fonte: LOCUS Repositório Institucional da UFV
• Texto Completo: http://locus.ufv.br/handle/123456789/67
• topic: Financeirização; Volatilidade; Commodities agropecuárias; Financialization; volatility; agricultural commodities; CNPQ::CIENCIAS SOCIAIS APLICADAS::ECONOMIA::ECONOMIA INTERNACIONAL

Over the last decade, commodity prices registered several periods of great oscillation, with both downtrend as high. The last observed movement began in 2002 and, contrary to expectations, was persistent, wide-reaching both soft commodities, which are grown produce, as the hard commodities, which are the products extracted or mined. Since then, several factors have been reported as possible determinants of upward price cycle. This scenario was being fostered, among other factors, by increasing global demand, especially China and India, the increased use of cereals for animal feed production and encouraging the production of biodiesel, while working side supply, climate change and low inventories. Besides the reasons given, another factor addressed by literature, and that is the object of this research is the increase in speculative activity in the commodity future market, called financialization. The financialization has been identified as one of the factors responsible for the rising of a speculative bubble in the future market of food, leading to instability by causing higher prices and volatility. There isn t in the literature, especially in Brazil, studies specifically addressing the impact of financialization on the volatility of agricultural commodity future markets. Thus, the aim of this research was to examine the influence of financial markets, international and national, on the agricultural future market in Brazil, checking whether the increased trading volume in future contracts has been accompanied by increased volatility in cattle, corn, soybean and arabica coffee future markets. Moreover, given the hypothesis that the increase in trading volume in future markets is causing the increase in food prices, we examined the existence of a linear causal relationship between the volume of traded future contracts and commodity future prices. The study included the period between the years 2002 and 2011. For the analysis of volatility transmission model was used GARCH BEKK multivariate model, while checking the causality in variance is given by evaluating the statistical significance of the cross-correlation function of the squared standardized residuals of financial series, from the estimation of univariate GARCH models. The investigation of the existence of linear causal relationship between the volume of traded future contracts and the returns of the prices of these contracts was performed using the Vector Autoregression model (VAR). The results show there is transmission of volatility between the international financial market and the corn, soybeans and arabica coffee future markets, while not detected transmission of volatility between the international financial market and the cattle future market. With respect to the domestic financial market, the results point to the existence of transmission of volatility in the market only for the corn future market, while in the live cattle future market, the transmission takes place in the opposite direction. There is no evidence of transmission of volatility between the domestic financial market and the arabica coffee and soybean future markets. The causality-in-variance test indicated that the variance in the period 2002-2011 (with the exception of the domestic financial market - cattle future market relationship), the financial market volatility has not caused the volatility of future markets as well as the volatility of the future market did not cause financial market volatility. No linear causal relationship was detected from the returns of future contracts to traded volume in the cattle and soybean future markets, whereas in the corn and arabica coffee future markets the returns of future prices temporally precedes the volume traded. However, these results do not allow evaluate the existence of contemporaneous correlation between these variables. According to this study it was not possible to confirm the hypothesis that the increased volume of trading of future contracts, caused by financialization, is contributing to increased volatility and prices of agricultural commodities in Brazil.