对冲和投机操作对美国农产品价格波动的影响

Q4 Economics, Econometrics and Finance Economia Aplicada Pub Date : 2020-09-01 DOI:10.11606/1980-5330/EA155701

Valéria Faria dos Santos, L. Maciel, R. Ballini

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引用次数: 1

摘要

本文旨在通过将未来合同的变化纳入GARCH家族模型，研究2000年至2015年间套期保值者和投机者对美国粮食价格回报波动的影响。为了验证这些投资者在一段时间内的影响，对模型进行了递归估计。此外，BEKK-GARCH模型被用于分析市场间的影响。研究结果表明，套期保值者和投机者对农产品市场波动的影响较小，最突出的影响是在2008年危机之后，大宗商品之间的相关性下降。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Efeito das operações de hedge e especulação sobre a volatilidade dos preços de commodities agrícolas nos EUA

This article aims to investigate the impact of hedgers and speculators on the grain price returns volatility in the United States between 2000 and 2015 by incorporating the variations from future contracts in GARCH family models. To verify how the impact of these investors over time, the models were recursively estimated. Furthermore, a BEKK-GARCH model was used to analyze inter-market eﬀects. The results showed that hedgers and speculators have a moderate impact on the volatility of agricultural markets, with the most prominent impact being after the 2008 crisis and when the correlation among the commodities decreased.

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来源期刊

Economia Aplicada Economics, Econometrics and Finance-Economics, Econometrics and Finance (all)

CiteScore

0.30

自引率

0.00%

发文量

审稿时长

100 weeks

期刊介绍： The journal Economia Aplicada (Brazilian Journal of Applied Economics) is a quarterly publication of the Dept. of Economics of the Faculty of Economics, Business and Accounting of the University of São Paulo at Ribeirão Preto (FEA-RP/USP). It was first published in 1997 by the Dept. of Economics of FEA-USP and by FIPE, with the primary concern of filling an editorial gap in Brazil. The Journal"s interest is to publish solely scientific papers on applied economics. Nowadays it has the same goal. Its focus is to publish papers with economic analysis applied to specific problems of interest either to public or private sector, especially with quantitative results bringing theory and reality closer.