Condições para implantação do contrato futuro de arroz no Brasil

• Ano de defesa: 2008
• Autor(a) principal: Costa, Alexandre Alvisi
• Orientador(a): Coelho, Alexandre Bragança
• Banca de defesa: Lima, João Eustáquio de , Fernandes, Elaine Aparecida , Gomes, Marília Fernandes Maciel
• Tipo de documento: Dissertação
• Tipo de acesso: Acesso aberto
• Idioma: por
• Instituição de defesa: Universidade Federal de Viçosa
• Programa de Pós-Graduação: Mestrado em Economia Aplicada
• Departamento: Economia e Gerenciamento do Agronegócio; Economia das Relações Internacionais; Economia dos Recursos
• País: BR
• Palavras-chave em Português: Contrato futuro de arroz; Co-integração de mercado; Causalidade
• Palavras-chave em Inglês: Rice future contract; Market co-integration; Causality
• Área do conhecimento CNPq: CNPQ::CIENCIAS SOCIAIS APLICADAS::ECONOMIA::ECONOMIAS AGRARIA E DOS RECURSOS NATURAIS::ECONOMIA AGRARIA
• Link de acesso: http://locus.ufv.br/handle/123456789/19

This paper aimed to study the Brazilian rice market in order to evaluate the feasibility of implementing a future market for this product, as an alternative to minimize the uncertainties associated with fluctuations in prices. In addition to examining the feasibility of a rice future contract, a price co-integration analysis between the irrigated and dry rice markets was carried out, with the objective to identify the long-term relationship between them and examine the implications related to the rice future contract operation. The methodology used was based on the Theory of Success and Failure in Futures Contracts, which analyzes the key variables that influence the success of a future contract. This analysis is known as macro approach. In addition to this theory, it was included an analysis of the potential market participants decision-making determinants, ie, a questionnaire was applied with the Brazilian rice industry agents. This part is known as micro approach. For the co-integration analysis, it was used the Johansen method, which aimed to identify the co-integration existence between the rice price series in irrigated and dry markets. The results of the macro approach showed that there are flaws in the variables: market physical size, market concentration degree and government intervention. These variables are important for the contract success, once they influence the product price formation. Regarding micro approach, this showed to be favorable to the future contract implementation, as both rice and rice benefited producers that were interviewed showed interest in participating in a possible future contract. The conclusion to this approach suggests that the Brazilian rice market should have contact with another type of risk mechanism before the implementation of the rice future market. The micro approach suggests that the future contract could succeed if implemented in BM&F. Regarding the co-integration analysis, the results presented showed that a rice future contract in Brazil should consider the prices of Rio Grande do Sul state. Furthermore, the co-integration analysis showed that rice prices are integrated into long term, even for different grades (irrigated and dry rice). This is an important fact for a rice future contract success, so that the agents that produce and trade any of the rice types can use the future contracts as a way to reduce their price risk. This allows a liquidity increase in the contract negotiation, contributing to its success.