Rodrigo Lanna Franco da Silveira

Análise das operações de cross hedge do bezerro e do hedge do boi gordo no mercado futuro da BM&F.

das cotacoes e assim permitir um planejamento mais eficaz da ativi-dade, os mercados de derivativos ajudam a minimizar os riscos devariacoes adversas nos precos e a problematica que envolve a capta-cao de recursos (Schouchana e Perobelli, 2000).A pecuaria bovina de corte do Pais se insere neste quadro aose constituir em uma atividade na qual a maior parte de seus agentesesta exposta a um alto risco de pre co. Isso se deve principalmente aofato da maior parte do sistema de producao ser horizontalizada. Deacordo com dados do Censo Agropecuario (1996), elaborado peloIBGE (Instituto Brasileiro de Geografia e Estatistica), aproximada-mente 86,75% do rebanho pecuario de corte nacional, o que corres-ponde a 98,9 milhoes de cabecas de gado, nao provem de producaoverticalizada. A especializacao em uma ou duas das etapas e maiscomum. Em conjunto aos fatores culturais e quest oes ligadas a locali-zacao e preco da terra, aspectos economicos levam os produtores aespecializacao do processo produtivo (Oliveira,1991).Neste sentido, o pre co do bezerro se constitui em uma vari avelchave tanto para os pecuaristas especializados na cria dos animais, comotambem para os agentes envolvidos na cria/engorda, recria/engorda eengorda. Para estes ultimos, o pre co do boi gordo n ao e analisado isola-damente para a decis ao de se realizar ou n ao sua venda. E essencial quese avalie o pre co do bezerro devido ao fato da reposi cao do rebanho serfator fundamental para a continuidade da atividade. Assim, o risco depreco, para estes pecuaristas, envolve a rela cao de troca entre boi gordoe bezerro (Schouchana e Caffagni, 2001).Com a introducao dos contratos de bezerro em outubro de2002, a BM&F passou a oferecer, aos agentes deste sistemaagroindustrial, a possibilidade de realizarem operacoes de protecaocontra os movimentos n ao desejados dos pre cos do bezerro e da rela-cao de troca entre boi gordo e bezerro (neste ultimo caso, os agentesdevem utilizar os contratos futuros destes dois animais) . No entanto,em periodos anteriores, os pecuaristas brasileiros, de forma a se pro-tegerem dos riscos dos precos do bezerro, tinham como alternativa arealizacao de operacoes conhecidas como

Estimating the Brazilian Central Bank’s Reaction Function by Fuzzy Inference System

A modelling strategy based on the application of fuzzy inference system is shown to provide a powerful and efficient method for the identification of non-linear and linear economic relationships. The procedure is particularly suitable for the estimation of ill-defined systems in which there is considerable uncertainty about the nature and range of key input variables. In addition, no prior knowledge is required about the form of the underlying relationships. Trend, cyclical and irregular components of the model can all be processed in a single pass. The potential benefits of the fuzzy logic approach are illustrated using a model to explain regime changes in Brazilian nominal interest rates. The results suggest that the relationships in the model are basically non-linear.

Fatores determinantes do uso de instrumentos de gestão de risco de preço por pecuaristas de corte do Estado de São Paulo

The beef cattle price volatility is one of the main risks of this activity. To manage this risk, forward and futures contracts can be used by beef cattle farmers. However, the use of these contracts is quite restricted. The reasons are based on the characteristics of farmers and his business. In this context, this study aimed to identify the determinants factors of adoption of risk management mechanisms by beef cattle farmers in the State of Sao Paulo, Brazil. A logit model was used to analyze data from a sample of 86 beef cattle farmers. The results showed that the factors that significantly affected the adoption of the risk management tools were farm income, technological intensity and business leverage.

Pequenas empresas industriais de longa permanência no mercado: uma análise a partir da literatura e de evidências empíricas

Abstract: This study aims to identify the influence of age, size, scope, and location on the probability of long-term survival of small industrial enterprises. This is a descriptive study based on a database that embodies information of small business located in the region of Campinas, Sao Paulo state, with data from the Campinas Industrial Region and Sao Paulo State Treasury Office. The present study showed that product line breadth, market coverage, and size influence the probability of survival of small industrial enterprises. Keywords: Small businesses. Longevity. Strategic management. Resumo: O trabalho visa identificar a influencia da idade, tamanho, escopo e efeitos do local sobre a probabilidade de sobrevivencia a longo prazo das pequenas empresas industriais. E um estudo descritivo que se apoia em um banco de dados com informacoes das pequenas empresas industriais da regiao de Campinas, construido a partir do Cadastro Industrial da Regiao de Campinas e dados da Secretaria da Fazenda do Estado de Sao Paulo (SEFAZ). O estudo evidenciou que a amplitude da linha de produtos, a abrangencia em termos de mercado e o tamanho exercem influencia sobre a probabilidade de sobrevivencia das pequenas empresas industriais.

Formas plurais de governança: uma análise das transações de suprimento entre frigoríficos e pecuaristas

This work examined the existence of plural forms in the transaction between slaughterhouses and beef cattle farmers, analyzing the determinants of companies’ choice of governance structures. Three slaughterhouses were studied, using the literature of plural forms of governance as theoretical framework. It was found that only one of the slaughterhouses adopts plural forms to coordinate their beef cattle purchase transactions, and the other two companies obtained all of their live cattle supply through spot market trades. The determinants of plural forms adoption were aligned with the theoretical model. Ambiguity, complexity and strategic behavior variables determine the choice of the governance structure. For the other two companies, we noted little or no ambiguity and complexity in the transactions, and the absence of strategic motivations for the use of plural forms. Principal advantages of this strategy of coordination were: (i) reduction of information asymmetry; (ii) advantages of scale and greater bargaining power in the spot market; (iii) flexibility to supply different distribution channels and (iv) cross-learning effects.

Impacto dos contratos futuros do Ibovespa na volatilidade dos índices de ações no Brasil: uma análise na crise do subprime

Significant increasing in derivatives trading over the world markets has led to an interesting debate about futures contracts influences on spot prices. In this context, this paper aims to evaluate, during the subprime crisis, the influence of IBOVESPA futures price volatility on the spot price indices as follows: IBOVESPA, FGV-100, IBrX-50, IGC, SMLL and MLCX. We considered the period from August 2007 to April 2009, when the evidence of the crisis were intense until to be recovering of growth of stock market index. To assess causality-in-variance, tests proposed by Cheung and Ng (1996) and Hafner and Herwartz (2006) were employed, and the volatility was estimated by an univariate GARCH process. It was found that the volatility of IBOVESPA futures contract did not destabilize spot indices during the subprime crisis.

Influence of farmers’ behavioral attitudes on hedging decisions

Purpose The purpose of this paper is to analyze the factors, including behavior, that impact the knowledge and use of futures contracts among Brazilian coffee producers. The results are based on primary data obtained from a sample of 244 farmers. Design/methodology/approach A multinomial logistic regression model is adjusted to analyze the determinants of the producers’ choices. Findings The results show that behavioral variables play an important role in the decision to use futures contracts: risk propensity, self‐confidence in management, and the level of market monitoring. Variables such as education and crop size also factor into this decision. Research limitations/implications A limitation of this study is that the analysis of farmers’ decisions and behavior was limited to one year. Future research which examines a more comprehensive group of producers over a longer period can reveal in more detail the determining factors for the use of futures contracts as a price risk management tool in the coffee ...

The Expansion of the Brazilian Winter Corn Crop and Its Impact on Price Transmission

The purpose of this study is to analyze the impact of the growth of the Brazilian winter corn crop on the dynamics between domestic Brazilian prices and international prices as well as spot and futures prices in Brazil. Econometric time-series methods tests were applied using Brazilian spot and futures prices and U.S. futures prices. The statistical analysis found evidence that a long-run relationship between Brazilian and U.S. prices had developed, and the Brazilian futures market developed a more dominant role in the relationship between spot and futures prices domestically. These findings were particularly noticeable after 2002, when expanding corn production in Brazil was leading to greater participation in the international market (exports) and increasing trading in the Brazilian futures market.

Factors influencing hedging decision: evidence from Brazilian citrus growers

The purpose of this study was to analyse the hedging behaviour of 98 citrus growers from the State of Sao Paulo, Brazil. Marketing behaviour was modelled as a choice between spot market, short and long‐term forward contracts. A multinomial logistic regression model was used to evaluate the role of behavioural, personal and managerial variables in the choice. Results indicated that the factors which explain the use of forward contracts by citrus growers are the following: risk propensity; trade with juice processing companies; farming diversification; overconfidence in management; participation in pools; use of management tools; and technical assistance. The results can be useful for farmers, policymakers, government agencies, traders and extension agents.

The Reaction of Coffee Futures Price Volatility to Crop Reports

ABSTRACT Analysis of prices and volatility plays an important role in coffee market, especially for developing countries, whose small producers and economies rely heavily on income generated by coffee trade. This study explores the impact of coffee crop reports on price volatility for coffee futures contracts during 2004–2014. Overall, results indicate that crop reports generally affect price volatility. The impact is particularly stronger when they provide information following the flowering periods in Colombia, Brazil, and Vietnam, world’s major producers.