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

Estudo da eficácia do tensoativo sorbitano tween 80 veiculado em nanoemulsão contendo óleo de soja, como inibidor de corrosão

Nowadays, the use of chemicals that satisfactorily meet the needs of different sectors of the chemical industry is linked to the consumption of biodegradable materials. In this context, this work contemplated biotechnological aspects with the objective of developing a more environmentally-friendly corrosion inhibitor. In order to achieve this goal, nanoemulsion-type systems (NE) were obtained by varying the amount of Tween 80 (9 to 85 ppm) a sortitan surfactant named polyoxyethylene (20) monooleate. This NE-system was analyzed using phase diagrams in which the percentage of the oil phase (commercial soybean oil, codenamed as OS) was kept constant. By changing the amount of Tween 80, several polar NE-OS derived systems (O/W-type nanoemulsion) were obtained and characterized through light scattering, conductivity and pH, and further subjected to electrochemical studies. The interfacial behavior of these NE-OS derived systems (codenamed NE-OS1, S2, S3, S4 and S5) as corrosion inhibitors on carbon steel AISI 1020 in saline media (NaCl 3.5%) were evaluated by measurement of Open Circuit Potential (OCP), Polarization Curves (Tafel extrapolation method) and Electrochemical Impedance Spectroscopy (EIS). The analyzed NE-OS1 and NE-OS2 systems were found to be mixed inhibitors with quantitative efficacy (98.6% - 99.7%) for concentrations of Tween 80 ranging between 9 and 85 ppm. According to the EIS technique, maximum corrosion efficiency was observed for some tested NE-OS samples. Additionaly to the electrochemical studies, Analysis of Variance (ANOVA) and Principal Component Analysis (PCA) were used, characterization of the nanoemulsion tested systems and adsorption studies, respectively, which confirmed the results observed in the experimental analyses using diluted NE-OS samples in lower concentrations of Tween 80 (0.5 1.75 ppm)

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