Eficiência e razão de hedge: uma análise dos mercados futuro brasileiros de boi, café, etanol, milho e soja

This research aims to investigate the Hedge Efficiency and Optimal Hedge Ratio for the future market of cattle, coffee, ethanol, corn and soybean. This paper uses the Optimal Hedge Ratio and Hedge Effectiveness through multivariate GARCH models with error correction, attempting to the possible phenomenon of Optimal Hedge Ratio differential during the crop and intercrop period. The Optimal Hedge Ratio must be bigger in the intercrop period due to the uncertainty related to a possible supply shock (LAZZARINI, 2010). Among the future contracts studied in this research, the coffee, ethanol and soybean contracts were not object of this phenomenon investigation, yet. Furthermore, the corn and ethanol contracts were not object of researches which deal with Dynamic Hedging Strategy. This paper distinguishes itself for including the GARCH model with error correction, which it was never considered when the possible Optimal Hedge Ratio differential during the crop and intercrop period were investigated. The commodities quotation were used as future price in the market future of BM&FBOVESPA and as spot market, the CEPEA index, in the period from May 2010 to June 2013 to cattle, coffee, ethanol and corn, and to August 2012 to soybean, with daily frequency. Similar results were achieved for all the commodities. There is a long term relationship among the spot market and future market, bicausality and the spot market and future market of cattle, coffee, ethanol and corn, and unicausality of the future price of soybean on spot price. The Optimal Hedge Ratio was estimated from three different strategies: linear regression by MQO, BEKK-GARCH diagonal model, and BEKK-GARCH diagonal with intercrop dummy. The MQO regression model, pointed out the Hedge inefficiency, taking into consideration that the Optimal Hedge presented was too low. The second model represents the strategy of dynamic hedge, which collected time variations in the Optimal Hedge. The last Hedge strategy did not detect Optimal Hedge Ratio differential between the crop and intercrop period, therefore, unlikely what they expected, the investor do not need increase his/her investment in the future market during the intercrop

Caracterização de compósitos Nb-20%cu obtidos por moagem de alta energia e sinterizados por fase líquida

In this work, was studied the formation of a composite of the refractory metal niobium with copper, through the process of high-energy milling and liquid phase sintering. The HEM can be used to synthesize composite powders with high homogeneity and fine size particle distribution. It may also produce the solid solubility in immiscible systems such as Nb-Cu, or extend the solubility of systems with limited solubility. Therefore, in the immiscible system Cu-Nb, the high-energy milling was successfully used to obtain the composite powder particles. Initially, the formation of composite particles during the HEM and the effect of preparation technique on the microstructure of the material was evaluated. Four loads of Nb and Cu powders containing 20%wt Cu were synthesized by MAE in a planetary type ball mill under different periods of grinding. The influence of grinding time on the metal particles is evaluated during the process by the withdrawal of samples at intermediate times of milling. After compaction under different forces, the samples were sintered in a vacuum furnace. The liquid phase sintering of these samples prepared by HEM produced a homogeneous and fine grained. The composite particles forming the sintered samples are the addition of a hard phase (Nb) with a high melting point, and a ductile phase (Cu) with low melting point and high thermal and electrical conductivities. Based on these properties, the Nb-Cu system is a potential material for many applications, such as electrical contacts, welding electrodes, coils for generating high magnetic fields, heat sinks and microwave absorbers, which are coupled to electronic devices. The characterization techniques used in this study, were laser granulometry, used to evaluate the homogeneity and particle size, and the X-ray diffraction, in the phase identification and to analyze the crystalline structure of the powders during milling. The morphology and dispersion of the phases in the composite powder particles, as well the microstructures of the sintered samples, were observed by scanning electron microscopy (SEM). Subsequently, the sintered samples are evaluated for density and densification. And finally, they were characterized by techniques of measuring the electrical conductivity and microhardness, whose properties are analyzed as a function of the parameters for obtaining the composite