Modelos de valor presente como instrumentos para estimativa de preços de contratos de boi gordo, café arábica, milho e dólar norte-americano no Brasil

Imagem de Miniatura
Tipo
Tese
Data
2015-02-11
Autores
Silva, Carlos Eduardo Mariano da
Orientador
Marçal, Emerson Fernandes
Título da Revista
ISSN da Revista
Título de Volume
Membros da banca
Forte, Denis
Nishijima, Marislei
Basso, Leonardo Fernando Cruz
Campos, Anderson Luis Saber
Programa
Administração de Empresas
Resumo
The aim of this work is to test the rationality of the Brazilian market for commodities actively negotiated at the BM&FBovespa, the exchange for stocks and derivatives in Brazil. The study encompasses live cattle, arabic coffee, corn and the US$/R$ exchange rate. The Present Value Model (PVM) was used to test the ratio between the future and spot prices spread and the market price of commodity under study. The ratio between the convenience yield, that accrues to holders of inventory, and the spot price is also tested. Cointegration tests, Granger causality tests and serial autocorrelation are among the tools employed. Conformance to the present value model is weak, since there is no cointegration between the convenience yield and the spot price for none of the four commodities. Prices, therefore, deviate from fundamentals. It is not possible to reconcile return forecasts with an efficient market environment under a context of rational expectations for the above mentioned assets. It is thus necessary continued investigations in this field. Two alternative schools of thought for investigations would be using equilibrium models between future and spot prices with arbitrage finite elasticity and, if prices follow an stochastic multivariate process, reverting to a trend line, to treat the convenience yield as an endogenous variable.
Descrição
Palavras-chave
modelo de valor presente , preço de commodities , ganho de conveniência , testes de cointegração , present value model , commodity prices , convenience yield , cointegration tests
Citação
SILVA, Carlos Eduardo Mariano da. Modelos de valor presente como instrumentos para estimativa de preços de contratos de boi gordo, café arábica, milho e dólar norte-americano no Brasil. 2015. 253 f. Tese (Doutorado em Administração) - Universidade Presbiteriana Mackenzie, São Paulo, 2015.