Effect of hedge and speculation operations on the volatility of agricultural commodity prices in the USA

Detalhes bibliográficos
Autor(a) principal: Santos, Valéria Faria dos
Data de Publicação: 2020
Outros Autores: Maciel, Leandro dos Santos, Ballini, Rosangela
Tipo de documento: Artigo
Idioma: por
Título da fonte: Economia Aplicada
Texto Completo: https://www.revistas.usp.br/ecoa/article/view/155701
Resumo: This article aims to investigate the impact of hedgers and speculators on the grain price returns volatility in the United States between 2000 and 2015 by incorporating the variations from future contracts in GARCH family models. To verify how the impact of these investors over time, the models were recursively estimated. Furthermore, a BEKK-GARCH model was used to analyze inter-market effects. The results showed that hedgers and speculators have a moderate impact on the volatility of agricultural markets, with the most prominent impact being after the 2008 crisis and when the correlation among the commodities decreased.
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spelling Effect of hedge and speculation operations on the volatility of agricultural commodity prices in the USAEfeito das operações de hedge e especulação sobre a volatilidade dos preços de commodities agrícolas nos EUAGARCHBEKK-GARCHagricultural marketshedgespeculationGARCHBEKK-GARCHmercados agrícolashedgeespeculaçãoThis article aims to investigate the impact of hedgers and speculators on the grain price returns volatility in the United States between 2000 and 2015 by incorporating the variations from future contracts in GARCH family models. To verify how the impact of these investors over time, the models were recursively estimated. Furthermore, a BEKK-GARCH model was used to analyze inter-market effects. The results showed that hedgers and speculators have a moderate impact on the volatility of agricultural markets, with the most prominent impact being after the 2008 crisis and when the correlation among the commodities decreased.Este artigo investiga o impacto das ações de hedgers e especuladores sobre a volatilidade dos retornos de preços à vista de grãos nos Estados Unidos entre 2000 e 2015 incorporando variações dos contratos futuros em modelos da família GARCH. Para verificar a ação destes agentes ao longo do tempo, os modelos foram estimados de forma recursiva. Adicionalmente, ajustou-se um modelo BEKK-GARCH para verificar os efeitos intermercados. Os resultados mostraram que a atuação de hedgers e especuladores têm impacto moderado sobre os mercados estudados, tendo maior efeito após a crise de 2008 e em momentos de redução da correlação entre as commodities.Universidade de São Paulo, FEA-RP/USP2020-09-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfhttps://www.revistas.usp.br/ecoa/article/view/15570110.11606/1980-5330/ea155701Economia Aplicada; Vol. 24 No. 3 (2020); 343-366Economia Aplicada; Vol. 24 Núm. 3 (2020); 343-366Economia Aplicada; v. 24 n. 3 (2020); 343-3661980-53301413-8050reponame:Economia Aplicadainstname:Universidade de São Paulo (USP)instacron:USPporhttps://www.revistas.usp.br/ecoa/article/view/155701/169793Copyright (c) 2020 Economia Aplicadahttp://creativecommons.org/licenses/by-nc/4.0info:eu-repo/semantics/openAccessSantos, Valéria Faria dosMaciel, Leandro dos SantosBallini, Rosangela2021-03-11T04:47:54Zoai:revistas.usp.br:article/155701Revistahttps://www.revistas.usp.br/ecoaPUBhttps://www.revistas.usp.br/ecoa/oai||revecap@usp.br1980-53301413-8050opendoar:2023-09-13T12:17:13.488845Economia Aplicada - Universidade de São Paulo (USP)false
dc.title.none.fl_str_mv Effect of hedge and speculation operations on the volatility of agricultural commodity prices in the USA
Efeito das operações de hedge e especulação sobre a volatilidade dos preços de commodities agrícolas nos EUA
title Effect of hedge and speculation operations on the volatility of agricultural commodity prices in the USA
spellingShingle Effect of hedge and speculation operations on the volatility of agricultural commodity prices in the USA
Santos, Valéria Faria dos
GARCH
BEKK-GARCH
agricultural markets
hedge
speculation
GARCH
BEKK-GARCH
mercados agrícolas
hedge
especulação
title_short Effect of hedge and speculation operations on the volatility of agricultural commodity prices in the USA
title_full Effect of hedge and speculation operations on the volatility of agricultural commodity prices in the USA
title_fullStr Effect of hedge and speculation operations on the volatility of agricultural commodity prices in the USA
title_full_unstemmed Effect of hedge and speculation operations on the volatility of agricultural commodity prices in the USA
title_sort Effect of hedge and speculation operations on the volatility of agricultural commodity prices in the USA
author Santos, Valéria Faria dos
author_facet Santos, Valéria Faria dos
Maciel, Leandro dos Santos
Ballini, Rosangela
author_role author
author2 Maciel, Leandro dos Santos
Ballini, Rosangela
author2_role author
author
dc.contributor.author.fl_str_mv Santos, Valéria Faria dos
Maciel, Leandro dos Santos
Ballini, Rosangela
dc.subject.por.fl_str_mv GARCH
BEKK-GARCH
agricultural markets
hedge
speculation
GARCH
BEKK-GARCH
mercados agrícolas
hedge
especulação
topic GARCH
BEKK-GARCH
agricultural markets
hedge
speculation
GARCH
BEKK-GARCH
mercados agrícolas
hedge
especulação
description This article aims to investigate the impact of hedgers and speculators on the grain price returns volatility in the United States between 2000 and 2015 by incorporating the variations from future contracts in GARCH family models. To verify how the impact of these investors over time, the models were recursively estimated. Furthermore, a BEKK-GARCH model was used to analyze inter-market effects. The results showed that hedgers and speculators have a moderate impact on the volatility of agricultural markets, with the most prominent impact being after the 2008 crisis and when the correlation among the commodities decreased.
publishDate 2020
dc.date.none.fl_str_mv 2020-09-01
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://www.revistas.usp.br/ecoa/article/view/155701
10.11606/1980-5330/ea155701
url https://www.revistas.usp.br/ecoa/article/view/155701
identifier_str_mv 10.11606/1980-5330/ea155701
dc.language.iso.fl_str_mv por
language por
dc.relation.none.fl_str_mv https://www.revistas.usp.br/ecoa/article/view/155701/169793
dc.rights.driver.fl_str_mv Copyright (c) 2020 Economia Aplicada
http://creativecommons.org/licenses/by-nc/4.0
info:eu-repo/semantics/openAccess
rights_invalid_str_mv Copyright (c) 2020 Economia Aplicada
http://creativecommons.org/licenses/by-nc/4.0
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Universidade de São Paulo, FEA-RP/USP
publisher.none.fl_str_mv Universidade de São Paulo, FEA-RP/USP
dc.source.none.fl_str_mv Economia Aplicada; Vol. 24 No. 3 (2020); 343-366
Economia Aplicada; Vol. 24 Núm. 3 (2020); 343-366
Economia Aplicada; v. 24 n. 3 (2020); 343-366
1980-5330
1413-8050
reponame:Economia Aplicada
instname:Universidade de São Paulo (USP)
instacron:USP
instname_str Universidade de São Paulo (USP)
instacron_str USP
institution USP
reponame_str Economia Aplicada
collection Economia Aplicada
repository.name.fl_str_mv Economia Aplicada - Universidade de São Paulo (USP)
repository.mail.fl_str_mv ||revecap@usp.br
_version_ 1800221695962775552

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