Mercado futuro de commodities agrícolas : um estudo sobre base e liquidez dos contratos

• Ano de defesa: 2016
• Autor(a) principal: Magalhães, Luiz Augusto Ferreira
• Tipo de documento: Dissertação
• Tipo de acesso: Acesso aberto
• Idioma: por
• Instituição de defesa: Universidade Federal de Mato Grosso; Brasil; Faculdade de Economia (FE); UFMT CUC - Cuiabá; Programa de Pós-Graduação em Economia
• Palavras-chave em Português: Autoregressão vetorial; Decomposição da variância; Microestrutura de mercado; CNPQ::CIENCIAS SOCIAIS APLICADAS::ECONOMIA; Vector autoregression; Variance decomposition; Market microstructure
• Link de acesso: http://ri.ufmt.br/handle/1/2823

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.