João Gomes Martines-Filho

Determinantes da demanda brasileira por importação de arroz do Mercosul

Since the middle of the 90’s, rice has been one of the main agricultural products imported by Brazil, particularly from Uruguay and Argentina, which very often raises concerns to Brazilian rice producers. This paper aims to analyze the factors that determine the Brazilian rice imports, and therefore proposes an economic model to examine these trade flows in Mercosur, assuming that the Brazilian rice imports results from a domestic demand surplus. An econometric model Vector Auto-regressive (structural VAR) is applied. Results show a strong relationship among rice imports and domestic rice prices, as well as the exchange rate. A significant effect of import prices over domestic prices has been verified. The quantity of rice imports relates positively to an increase of domestic prices and negatively to an increase of import prices, as well as increases in the exchange rate. A bicausality relationship is verified between domestic and import prices for rice. One of the major conclusions is that Brazilian rice imports answer immediately to changes in domestic prices and exchange rate and react one quarter later to changes in import prices suggesting a delay over rice importers to substitute imports by the domestic rice.

O excesso de confiança dos produtores de milho no Brasil e o uso de contratos futuros

O objetivo deste artigo foi identificar sinais de excesso de confianca nos precos entre produtores de milho do Sul e do Centro-Oeste do Brasil. Entre outubro e novembro de 2008, 90 produtores foram selecionados para responderem questoes relacionadas a seus conhecimentos do mercado futuro e a suas expectativas de precos. Uma grande parte dos entrevistados respondeu que nao negociava contratos futuros por nao possuir informacao suficiente para isso. Os resultados revelaram que os produtores foram descalibrados quando estimaram os precos esperados na forma direta e indireta. Alem disso, para a maior parte dos respondentes, a variância subjetiva obtida por meio dos questionarios foi estatisticamente inferior a variância do mercado. Isto mostra que os produtores possuem uma percepcao de risco inferior ao risco de mercado. Por fim, o artigo conclui que o efeito de excesso de confianca pode, parcialmente, explicar o baixo uso do mercado futuro de milho por parte dos produtores brasileiros, para garantir a protecao de preco do produto........This paper aimed to identify signs of overconfidence among corn producers in the Southern and Central-Western regions in Brazil. Between October and November 2008, 90 farmers were chosen to answer questions regarding their knowledge of futures markets and price expectations. Most part of agents surveyed answered that they do not trade futures contracts because they do not have enough information. Results showed that respondents were miscalibrated when estimating directly-stated and the indirectly-stated expected prices. In addition, for most respondents, subjective variance for corn proves to be significantly less than the market variance, implying that producers perceive a risk that is lower than that of the market. Finally, the paper concludes that the overconfidence effect can partially explain the low use of futures markets by Brazilian corn producers to hedge their production.

Uso da estrutura a termo das volatilidades implícitas das opções de soja do CME group para previsões em Mato Grosso

The term structure of options with future expiration dates traded at the CME Group is calculated to forecast short and long-term realized volatility and price level of soybean spot prices in Rondonopolis (Mato Grosso State). Extracting the implied volatility with the Black (1976) model for commodities option pricing, the implied volatility variance is decomposed in known and unknown intervals, used to forecast short and long-term realized volatility. In addition, the implied volatility is used as a parameter in an empirical confidence interval equation to forecast the short and long-term price level, using the interval upper limit. Predictive efficiency tests indicate that the forecasts of realized volatility based on the implied volatility have greater degree of efficiency in the short term, while the naive estimate is more efficient in the long-term. The empirical confidence interval price level upper limit forecasts are more efficient in the long-term and the naive estimates show more efficiency in the short-term.