CO-INTEGRATION, CAUSALITY AND EFFECTIVENESS OF HEDGE FOR FAT OX’S PRICES OF THE CONTRACT FOR PARANÁ STATE’S NORTHWEST
Autor(a) principal: | |
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Data de Publicação: | 2000 |
Outros Autores: | , , |
Tipo de documento: | Artigo |
Idioma: | por |
Título da fonte: | Informe Gepec (Online) |
Texto Completo: | https://e-revista.unioeste.br/index.php/gepec/article/view/1805 |
Resumo: | This article aimed to verify the relation between present price and credit price of the fat ox in Norwest region of the state of Parana. To do the analyse as credit price, we used the fat ox's credit price contract to first payment day gave by BM&F and as present price the series of price from Cepea on the studied region. The data are from the period of January, 3rd, 2001 to november, 6th, 2006. In the objective to verify the relation between the prices we used the causality test by Granger; the tests of co-integration based on Johansen and the results showed a long time balance between the two variables, and this result means that the variables are related. We verified the hedge to the region and also verified a bi caused relation between the variables of present price and credit price, showing that the agents when they make their decisions in the present market, they consider the day before's price until the first payment day contract, just like the credit price's agents when making decisions consider what's happening in present market. We also confirmed that the efectivity of the hedge is low on this region. |
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CO-INTEGRATION, CAUSALITY AND EFFECTIVENESS OF HEDGE FOR FAT OX’S PRICES OF THE CONTRACT FOR PARANÁ STATE’S NORTHWESTCO-INTEGRAÇÃO, CAUSALIDADE E EFETIVIDADE DO HEDGE PARA PREÇOS DO CONTRATO DE BOI GORDO PARA NOROESTE DO PARANÁboi gordocausalidadeco-integraçãoefetividade do hedge. This article aimed to verify the relation between present price and credit price of the fat ox in Norwest region of the state of Parana. To do the analyse as credit price, we used the fat ox's credit price contract to first payment day gave by BM&F and as present price the series of price from Cepea on the studied region. The data are from the period of January, 3rd, 2001 to november, 6th, 2006. In the objective to verify the relation between the prices we used the causality test by Granger; the tests of co-integration based on Johansen and the results showed a long time balance between the two variables, and this result means that the variables are related. We verified the hedge to the region and also verified a bi caused relation between the variables of present price and credit price, showing that the agents when they make their decisions in the present market, they consider the day before's price until the first payment day contract, just like the credit price's agents when making decisions consider what's happening in present market. We also confirmed that the efectivity of the hedge is low on this region. O artigo objetivou verificar a relação entre o preço a vista e futuro do boi gordo na região noroeste do estado do Paraná. Utilizou-se para a análise como preço futuro, o contrato futuro de boi gordo para o primeiro vencimento fornecido pela BM&F e como preço a vista a série de preços do Cepea para a região em estudo. Os dados se referem ao período de 03 de Janeiro de 2001 a 06 de Novembro de 2006. Para verificar a relação entre os preços utilizou-se o teste de causalidade de Granger; os testes de co-integração de Johansen e os resultados mostraram um equilíbrio de longo prazo entre as variáveis, o que significa que elas se relacionam. Além da verificação da efetividade do hedge para a região. Verificou-se uma relação de bicausalidade entre as variáveis preço futuro e preço a vista, mostrando que os agentes ao tomarem suas decisões no mercado a vista, levam em consideração o preço de fechamento do dia anterior ao contrato de primeiro vencimento, assim como os agentes no mercado futuro ao tomarem suas decisões levam em consideração o que está ocorrendo no mercado a vista. Confirmou-se também que a efetividade do hedge é baixa nessa região.EdUnioeste2000-01-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfhttps://e-revista.unioeste.br/index.php/gepec/article/view/180510.48075/igepec.v12i1.1805Informe GEPEC; v. 12 n. 1 (2008)1679-415X1676-067010.48075/igepec.v12i1reponame:Informe Gepec (Online)instname:Universidade Estadual do Oeste do Paraná (UNIOESTE)instacron:UNIOESTEporhttps://e-revista.unioeste.br/index.php/gepec/article/view/1805/1457Gonçalves, Daniel FerreiraFrancischini, Ari AntônioAlves, Alexandre FlorindoParré, José Luizinfo:eu-repo/semantics/openAccess2023-05-16T22:14:53Zoai:ojs.e-revista.unioeste.br:article/1805Revistahttps://e-revista.unioeste.br/index.php/gepecPUBhttps://e-revista.unioeste.br/index.php/gepec/oairevista.gepec@gmail.com1679-415X1676-0670opendoar:2023-05-16T22:14:53Informe Gepec (Online) - Universidade Estadual do Oeste do Paraná (UNIOESTE)false |
dc.title.none.fl_str_mv |
CO-INTEGRATION, CAUSALITY AND EFFECTIVENESS OF HEDGE FOR FAT OX’S PRICES OF THE CONTRACT FOR PARANÁ STATE’S NORTHWEST CO-INTEGRAÇÃO, CAUSALIDADE E EFETIVIDADE DO HEDGE PARA PREÇOS DO CONTRATO DE BOI GORDO PARA NOROESTE DO PARANÁ |
title |
CO-INTEGRATION, CAUSALITY AND EFFECTIVENESS OF HEDGE FOR FAT OX’S PRICES OF THE CONTRACT FOR PARANÁ STATE’S NORTHWEST |
spellingShingle |
CO-INTEGRATION, CAUSALITY AND EFFECTIVENESS OF HEDGE FOR FAT OX’S PRICES OF THE CONTRACT FOR PARANÁ STATE’S NORTHWEST Gonçalves, Daniel Ferreira boi gordo causalidade co-integração efetividade do hedge. |
title_short |
CO-INTEGRATION, CAUSALITY AND EFFECTIVENESS OF HEDGE FOR FAT OX’S PRICES OF THE CONTRACT FOR PARANÁ STATE’S NORTHWEST |
title_full |
CO-INTEGRATION, CAUSALITY AND EFFECTIVENESS OF HEDGE FOR FAT OX’S PRICES OF THE CONTRACT FOR PARANÁ STATE’S NORTHWEST |
title_fullStr |
CO-INTEGRATION, CAUSALITY AND EFFECTIVENESS OF HEDGE FOR FAT OX’S PRICES OF THE CONTRACT FOR PARANÁ STATE’S NORTHWEST |
title_full_unstemmed |
CO-INTEGRATION, CAUSALITY AND EFFECTIVENESS OF HEDGE FOR FAT OX’S PRICES OF THE CONTRACT FOR PARANÁ STATE’S NORTHWEST |
title_sort |
CO-INTEGRATION, CAUSALITY AND EFFECTIVENESS OF HEDGE FOR FAT OX’S PRICES OF THE CONTRACT FOR PARANÁ STATE’S NORTHWEST |
author |
Gonçalves, Daniel Ferreira |
author_facet |
Gonçalves, Daniel Ferreira Francischini, Ari Antônio Alves, Alexandre Florindo Parré, José Luiz |
author_role |
author |
author2 |
Francischini, Ari Antônio Alves, Alexandre Florindo Parré, José Luiz |
author2_role |
author author author |
dc.contributor.author.fl_str_mv |
Gonçalves, Daniel Ferreira Francischini, Ari Antônio Alves, Alexandre Florindo Parré, José Luiz |
dc.subject.por.fl_str_mv |
boi gordo causalidade co-integração efetividade do hedge. |
topic |
boi gordo causalidade co-integração efetividade do hedge. |
description |
This article aimed to verify the relation between present price and credit price of the fat ox in Norwest region of the state of Parana. To do the analyse as credit price, we used the fat ox's credit price contract to first payment day gave by BM&F and as present price the series of price from Cepea on the studied region. The data are from the period of January, 3rd, 2001 to november, 6th, 2006. In the objective to verify the relation between the prices we used the causality test by Granger; the tests of co-integration based on Johansen and the results showed a long time balance between the two variables, and this result means that the variables are related. We verified the hedge to the region and also verified a bi caused relation between the variables of present price and credit price, showing that the agents when they make their decisions in the present market, they consider the day before's price until the first payment day contract, just like the credit price's agents when making decisions consider what's happening in present market. We also confirmed that the efectivity of the hedge is low on this region. |
publishDate |
2000 |
dc.date.none.fl_str_mv |
2000-01-01 |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
https://e-revista.unioeste.br/index.php/gepec/article/view/1805 10.48075/igepec.v12i1.1805 |
url |
https://e-revista.unioeste.br/index.php/gepec/article/view/1805 |
identifier_str_mv |
10.48075/igepec.v12i1.1805 |
dc.language.iso.fl_str_mv |
por |
language |
por |
dc.relation.none.fl_str_mv |
https://e-revista.unioeste.br/index.php/gepec/article/view/1805/1457 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
EdUnioeste |
publisher.none.fl_str_mv |
EdUnioeste |
dc.source.none.fl_str_mv |
Informe GEPEC; v. 12 n. 1 (2008) 1679-415X 1676-0670 10.48075/igepec.v12i1 reponame:Informe Gepec (Online) instname:Universidade Estadual do Oeste do Paraná (UNIOESTE) instacron:UNIOESTE |
instname_str |
Universidade Estadual do Oeste do Paraná (UNIOESTE) |
instacron_str |
UNIOESTE |
institution |
UNIOESTE |
reponame_str |
Informe Gepec (Online) |
collection |
Informe Gepec (Online) |
repository.name.fl_str_mv |
Informe Gepec (Online) - Universidade Estadual do Oeste do Paraná (UNIOESTE) |
repository.mail.fl_str_mv |
revista.gepec@gmail.com |
_version_ |
1796797389648953344 |