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

Benefícios econômicos agregados às propriedades urbanas pelas paisagens naturais

Amenities value provided by green areas, sea, river and natural landscapes are hardly perceived and incorporated on urban planning and development. In this work, distance and view to protected and non-protected green areas, sea and river were evaluated as to how they increase the housing prices in Natal. Hedonic pricing methods were used with linear models to estimate the marginal implicit value of environmental, residential and neighborhood features. Results on Chapter 1 demonstrate the view to the sea and protected natural areas were largely capitalized on housing prices, while non-protected natural areas didn t display such effect. Housing prices also increase when close to the sea or to parks entrance. However, housing prices fall when houses are near non-protected natural areas. When estates with sea view were excluded, the protected natural areas view and a longer distance to non-protected natural areas increased dwelling prices. Results on Chapter 2 point the sea view as an hedonic variable the contributes strongly to the property selling prices, even though not always as the greatest contributor; furthermore, the property proximity to Dunas Park or City of the Park entrance increases its price, as does closeness to Dunas Park, view to City of the Park or Dunas Park. On the other hand, selling prices diminish if properties are close to City of the Park or Morro do Careca. Results on this study confirm the hedonic pricing methods is an important intrument, capable of revealing to popullation the importance of enviromental amenities and can be used by public managers for creating public policies for conservation and restoration projects