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

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dc.contributor.advisorMarçal, Emerson Fernandespt_BR
dc.contributor.advisor1Latteshttp://lattes.cnpq.br/2362482510747681por
dc.contributor.authorSilva, Carlos Eduardo Mariano dapt_BR
dc.creator.Latteshttp://lattes.cnpq.br/1772472689874949por
dc.date.accessioned2016-03-15T19:31:11Z
dc.date.accessioned2020-05-28T18:02:49Z
dc.date.available2015-09-08pt_BR
dc.date.available2020-05-28T18:02:49Z
dc.date.issued2015-02-11pt_BR
dc.description.abstractThe 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.eng
dc.formatapplication/pdfpor
dc.identifier.citationSILVA, 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.por
dc.identifier.urihttp://dspace.mackenzie.br/handle/10899/23233
dc.languageporpor
dc.publisherUniversidade Presbiteriana Mackenziepor
dc.rightsAcesso Abertopor
dc.subjectmodelo de valor presentepor
dc.subjectpreço de commoditiespor
dc.subjectganho de conveniênciapor
dc.subjecttestes de cointegraçãopor
dc.subjectpresent value modeleng
dc.subjectcommodity priceseng
dc.subjectconvenience yieldeng
dc.subjectcointegration testseng
dc.subject.cnpqCNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO::ADMINISTRACAO DE EMPRESASpor
dc.thumbnail.urlhttp://tede.mackenzie.br/jspui/retrieve/3090/Carlos%20Eduardo%20Mariano%20da%20Silvaprot.pdf.jpg*
dc.titleModelos de valor presente como instrumentos para estimativa de preços de contratos de boi gordo, café arábica, milho e dólar norte-americano no Brasilpor
dc.typeTesepor
local.contributor.board1Forte, Denispt_BR
local.contributor.board1Latteshttp://lattes.cnpq.br/0075062531510292por
local.contributor.board2Nishijima, Marisleipt_BR
local.contributor.board2Latteshttp://lattes.cnpq.br/5620359266790501por
local.contributor.board3Basso, Leonardo Fernando Cruzpt_BR
local.contributor.board3Latteshttp://lattes.cnpq.br/1866154361601651por
local.contributor.board4Campos, Anderson Luis Saberpt_BR
local.contributor.board4Latteshttp://lattes.cnpq.br/2230401906908835por
local.publisher.countryBRpor
local.publisher.departmentAdministraçãopor
local.publisher.initialsUPMpor
local.publisher.programAdministração de Empresaspor
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