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Doctoral Thesis
DOI
https://doi.org/10.11606/T.11.2020.tde-20200111-145004
Document
Author
Full name
Warli Anjos de Souza
Institute/School/College
Knowledge Area
Date of Defense
Published
Piracicaba, 1998
Supervisor
Title in Portuguese
Determinantes da viabilidade de mercados futuros agropecuários no âmbito do Mercosul
Keywords in Portuguese
AGROPECUÁRIA
COMÉRCIO INTERNACIONAL
MERCADO FUTURO
MERCOSUL
Abstract in Portuguese
O objetivo deste trabalho foi avaliar a viabilidade de expansão e uso dos mercados futuros agropecuários e argentinos no âmbito do Mercosul para hedgers de ambos os países. Foram investigados, preferencialmente, os contratos futuros de soja, trigo, milho e boi gordo, em decorrência de suas importâncias econômicas e dificuldades à integração e harmonização dos seus sistemas de comercialização no mercado disponível no âmbito do bloco econômico. Para consecução do objetivo, a pesquisa utilizou a teoria de sucesso ou fracasso de contratos futuros para determinar os fatores que podem contribuir para a utilização eficiente de contratos futuros de soja e milho no Brasil, na Bolsa de Mercadorias & Futuros (BM&F), por hedgers argentinos e contratos futuros de trigo, soja e milho na Argentina, no Mercado a Término de Buenos Aires (MAT) e na Rosario Futures Exchange, por hedgers brasileiros. Adicionalmente, avaliou-se a liquidez dos contratos futuros na administração de riscos de preços das commodities trigo, soja e milho nas bolsas argentinas e soja e milho na bolsa brasileira. Também foram testadas as eficiências de hedging do contrato futuro de boi gordo da BM&F para hedgers argentinos localizados em Liniers e dos contratos futuros de trigo do MAT e da ROFEX para hedgers localizados no Rio Grande do Sul. Os resultados empíricos desta investigação indicam que os fatores que podem contribuir para tornarem viáveis os contratos futuros da soja, milho e trigo das bolsas argentinas e brasileira no âmbito do Mercosul são: o risco residual relativo do contrato de cross hedge, o custo de liquidez do contrato de own hedge, a volatilidade de preço e tamanho do mercado disponível. Pelos resultados obtidos neste trabalho é possível afirmar que no âmbito do Mercosul nenhuma bolsa apresenta um cross hedging superior ao own hedging. Mas, por outro lado, também é possível afirmar que há um nicho de mercado promissor para 3 mercados ) de cross hedgs: o contrato de milho do MAT para hedgers brasileiros de milho: o contrato de trigo MAT para hedgers de trigo de Rosario e vice-versa. O MAT é, de forma expressiva, o mercado de futuros agropecuários mais líquido do Mercosul. Isto tem uma implicação importante para esta pesquisa, uma vez que a maior liquidez dos contratos do MAT pode servir como inibição ou uma barreira de sucesso para os contratos da ROFEX ou da BM&F para hedgers argentinos localizados em Buenos Aires. Em resumo, o estudo revelou pouca possibilidade de uso destes mercados fora do local onde estão funcionando, ou seja, o uso de contrato futuro está restrito à área de atuação da bolsa, como um own hedge. O estudo também não encontrou uma bolsa dominante, revelando que existe então, uma tendência de especialização de cada bolsa com um determinado contrato. Assim, para a BM&F, o melhor contrato é o de boi gordo. Para a ROFEX, o melhor contrato é ISR e para o MA, têm-se os contratos de milho e trigo. Com relação a utilização do mercado futuro brasileiro de boi gordo (BM&F) por hedgers argentinos, identificou que a eficiência de hedge foi extremamente baixa, o que permite concluir que esta não é uma estratégia viável
Title in English
Determinants of the viability of agricultural futures markets in the bounds of Mercosul
Abstract in English
The objective of this study is to analyze the expansion viability and use of the Brazilian and Argentinean agricultural futures markets in the bounds of Mercosul for hedgers of both countries. The futures contracts of soybean, wheat, com and beef cattle were selected for this research, due to its economic importance and difficulties to the integration and harmonization of its commercialization ways in the cash market in the bounds of the economic block. For achievement of the objective, the research used the success or failure theory of futures contracts to determine the factors that can contribute to the efficient use of futures contracts of soybean and com in Brazil, at the Bolsa de Mercadorias & Futuros (BM&F), for Argentinean hedgers and futures contracts of wheat, soybean and com in Argentina, at the Mercado a Termino de Buenos Aires (MAT) and at the Rosario Futures Exchange (ROFEX), for Brazilian hedgers. ln addition, the liquidity of the futures contracts was evaluated m the administration of risk prices of the commodities wheat, soybean and com in the Argentinean exchanges and soybean and com in the Brazilian exchange. It was also tested the efficiency of hedging contract of beef cattle of BM&F for Argentinean hedgers Iocated at Liniers and the futures contracts of wheat of MAT and ROFEX for Brazilian hedgers located in Rio Grande do Sul. The empiric results of this investigation indicated that the factors which can contribute to become viable the futures contracts of the soybean, com and wheat of the Argentinean and Brazilian exchanges in the bounds of Mercosul are the relative residual risk of the contract of cross hedge, the cost of liquidity of the contract of own hedge, the price volatility and size of the cash market. For the results obtained in this study it is possible to affirm that in the bounds of Mercosul no exchange presents a better cross hedging than own hedging. But, on the other hand, it is also possible to affirm that there is a niche of promising market for three markets of cross hedges: the contract of com of MA T for Brazilian hedgers of com; the wheat contract MAT for hedgers of wheat of Rosario and vice-versa. MAT is, in an expressive way, the market of agricultural futures more liquid of Mercosul. This has an important implication to this research, once the Iargest liquidity of the contracts of MA T can be as good as an inhibition or a success barrier for the contracts of ROFEX or of BM&F for Argentinean hedgers located in Buenos Aires ln summary, the study revealed little possibility of the use of these markets out of the place where they are working, that is to say, the use of the future contract is restricted to the area of performance of the exchange, as an own hedge. The study didn't also find a dominant exchange, revealing that it exists then, a tendency of specialization of each exchange with a certain contract. Thus, for BM&F, the best contract is beef cattle. For ROFEX, the best contract is Indice Soja Rosafe (ISR) and for MAT, the best contracts are com and wheat. With relation to the use of the contracts of wheat of the Argentinean exchanges for Brazilian hedgers a consistent indication doesn't exist, once the risk level is still high, same considering the best acting of MAT with these contracts. ln the same way, the analysis of the use of the futures markets Brazilian of beef cattle (BM&F) for Argentinean hedgers, it identified that the hedge efficiency was extremely low, what allows to conclusion that this is not a viable strategy
 
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Publishing Date
2020-01-11
 
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