Tesis
Mercado futuro de commodities agrícolas : um estudo sobre base e liquidez dos contratos
Fecha
2016-04-18Registro en:
MAGALHÃES, Luiz Augusto Ferreira. Mercado futuro de commodities agrícolas: um estudo sobre base e liquidez dos contratos. 2016. 80 f. Dissertação (Mestrado em Agronegócios e Desenvolvimento Regional) - Universidade Federal de Mato Grosso, Faculdade de Economia, Cuiabá, 2016.
Autor
Miqueleto, Guilherme Jacob
Ishii, Karlin Saori
http://lattes.cnpq.br/4921706562265742
http://lattes.cnpq.br/9315289482652576
Miqueleto, Guilherme Jacob
344.616.358-13
http://lattes.cnpq.br/9315289482652576
Ishii, Karlin Saori
024.788.029-96
http://lattes.cnpq.br/4921706562265742
344.616.358-13
024.788.029-96
Silva Neto, Waldemiro Alcântara da
214.800.428-03
http://lattes.cnpq.br/0903453737945294
Institución
Resumen
Considering both the growing importance of futures markets in contemporaneous
capitalist economies and the scarcity of works related to the theme in Brazil, this
study intends to approach the causality relation between Futures-Cash Basis and
Liquidity in the Brazilian futures markets of agricultural commodities. Specifically, it
aims to select a theoretical approach which allows to understand the functional
relation between Futures-Cash Basis and Liquidity, and to estimate an econometric
model which allows the analysis of the causality between these two variables based
on data of futures contracts of agricultural commodities (livestock, corn and coffee)
from BM&F Bovespa. The study uses Vector Autoregression models and tools
provided by them, showing evidences that Liquidity is endogenous to Futures-Cash
Basis, emphasizing that the participants in the futures markets of agricultural
commodities decide if whether they enter or not the market by observing the Futures-
Cash Basis.