Derivativos sobre Commodities Influenciam a Volatilidade dos Preços à Vista? Uma análise nos mercados de boi gordo e café arábica no Brasil

Rodrigo Silveira, Leandro Maciel and Rosangela Ballini

Brazilian Journal of Rural Economy and Sociology (Revista de Economia e Sociologia Rural-RESR), 2014, vol. 52, issue 3, 20

Abstract: The bullish movement in commodity prices during the 2000s can be explained based on structural and conjectural factors. In addition, it was argued that this price movement was amplified by the contagion from the derivative markets. In this context, these contracts were one of the aspects responsible for an increase in cash price volatility. Thus, this paper evaluated the influence of trading activity (volume and open interest) and futures price volatility in spot price volatility for arabica coffee and live cattle in Brazilian markets. Granger causality tests, forecast error variance decomposition, considering vector autoregression models, and tests of causality in variance, based on the cross-correlation function and on the idea of Lagrange multiplier were conducted. The results showed that, during the period considered, in most cases, an unexpected movement in trading volume and variability of futures prices changed the pattern of spot price volatility.

Keywords: Agribusiness (search for similar items in EconPapers)
Date: 2014
References: Add references at CitEc
Citations:

Downloads: (external link)
https://ageconsearch.umn.edu/record/211665/files/Artigo%201.pdf (application/pdf)

Related works:
Journal Article: Derivativos sobre Commodities Influenciam a Volatilidade dos Preços à Vista? Uma análise nos mercados de boi gordo e café arábica no Brasil (2014)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ags:rdecag:211665

DOI: 10.22004/ag.econ.211665

Access Statistics for this article

More articles in Brazilian Journal of Rural Economy and Sociology (Revista de Economia e Sociologia Rural-RESR) from Sociedade Brasileira de Economia e Sociologia Rural Contact information at EDIRC.
Bibliographic data for series maintained by AgEcon Search ().