Integração espacial e eficiência do hedge no mercado sul-americano de soja: comparações entre Brasil e Argentina

Este trabalho tem por objetivo analisar o potencial de desenvolvimento do contrato futuro de soja no Brasil, por meio da atração de hedgers brasileiros e argentinos. Para tanto, faz-se necessário conhecer os padrões das conexões dos preços entre as regiões analisadas. Nesse sentido, o Capítulo 2 investigou a integração espacial do mercado físico de soja no Brasil (região de Sorriso, no Mato Grosso) e na Argentina (região de Rosário, na província de Santa Fé) e comparou ao grau de integração com os Estados Unidos. Foram empregados modelos autorregressivos com threshold (TAR e M-TAR) e modelos vetoriais de correção de erros, lineares e com threshold (VECM e TVECM), visando captar os efeitos dos custos de transação sobre a integração espacial entre essas regiões. Os resultados apontaram que o mercado de soja brasileiro, argentino e norte-americano são integrados, mesmo considerando-se os efeitos dos custos de transação sobre as decisões de arbitragem espacial. Consequentemente, os preços da soja no mercado internacional tendem a refletir o comportamento dos principais países produtores. Apesar disso, o tempo de transmissão de choques de preços mostrou-se, em geral, menor entre Brasil e Argentina, refletindo a proximidade geográfica. Apontou-se também o comportamento assimétrico da transmissão desses choques, uma vez que choques positivos sobre a relação de longo prazo tendem a ser mais persistentes que os negativos. Se o contrato futuro reflete o comportamento de preços de um único mercado físico integrado, deve-se então esperar que o risco de base seja menor para este mercado e, portanto, que a eficiência do hedge seja maior. No Capítulo 3, o objetivo se constituiu em verificar se há maior eficiência no hedge realizado com os contratos com vencimento em março na CME em relação à BM&FBOVESPA, considerando-se as relações de longo prazo entre os preços à vista e futuros, bem como a dinâmica na estrutura de covariâncias condicionais, por meio de modelos de correção de erros (VECM) e modelos de heterocedasticidade condicional generalizados com correlação condicional dinâmica (DCC-GARCH). Os resultados mostraram que, em geral, a introdução da dinâmica nos segundos momentos das distribuições dos erros tende a aumentar a eficiência da estratégia de hedge. Além disso, foi observado que os produtores de Sorriso tendem a obter melhores condições de hedge na CME, embora haja redução da variância ao se operar na BM&FBOVESPA. Por outro lado, a eficiência do hedge para os produtores de Rosário foi significativamente maior na BM&FBOVESPA do que na CME, o que indica o mercado potencial de hedgers argentinos para negociar o contrato futuro de soja local no Brasil.

Essays on International Asset Allocation and Pricing

Thesis (Ph.D.)--University of Washington, 2016-06

Management motivation for using financial derivatives in Australia

This study takes a direct approach to determine management motivation for the use of financial derivatives. We survey a sample of Australian firms on attitudes to derivative use and financial risk management. Management views are sought on the importance of a series of theoretical reasons for using derivatives. Generally, we find that managers are focused on the broad reduction of risk and volatility of cash flows and earnings in using derivatives. Specific issues such as reducing bankruptcy costs, debt levels and taxation are not considered as important. A further interesting result from this research is that even though firms may use derivatives they may not necessarily hedge all of their annual exposures across different financial risks. This helps explain the inconsistency of results in many empirical studies on the determinants of derivative use.

Two conceptions of reason

Two conceptions of reason are considered - the planning conception, embodied, for example, in rational choice theory and other familiar paradigms, and the improvisational conception, emerging from work on artificial intelligence and organization theory. Two illustrations are given of the problematic nature of the planning conception: ( 1) the inevitability of incompleteness in contracting and ( 2) the burdens of reason identified by John Rawls. Two diagnoses are provided for these infirmities: ( 1) the inexhaustibility of description and ( 2) the constructed nature of preferences and values. An alternative improvisational model is sketched and risk-spreading and bet-hedging are identified as two of its key technologies.

The exchange rate exposure of UK non-financial companies

Purpose – The purpose of this paper is to investigate the exchange rate exposure of UK nonfinancial companies from January 1981 to December 2001. Design/methodology/approach – The study employs different exchange rate measures and adopts an equally weighted exchange rate. The analyses are conducted at the firm level. All analyses are conducted by regressing the firm’s exchange rate exposure coefficients on its size, foreign activity variables and financial hedging proxies over the whole sample period. Findings – The findings show that a higher percentage of UK non-financial companies are exposed to exchange rate changes than those reported in previous studies. Generally, the results provide a stronger support for the suggested equally weighted rate as an economic variable, which affects firms’ stock returns. The results also show a high proportion of positive exposure coefficients among firms with significant exchange rate exposure, indicating a higher proportion of firms benefiting from an appreciation of the pound. Finally, the results also indicate evidence that firms’ foreign operations and hedging variables affect their sensitivity to exchange rate exposure. Practical implications – This study provides important implications for public policymakers who wish to understand links between policies that affect exchange rates and relative wealth effects. Originality/value – The empirical results of this study should help investors to examine how common stock returns react to exchange rate fluctuations when making financial decisions, and prove useful for financial managers when measuring exposure to foreign exchange rate changes.

The sensitivity of US banks' stock returns to interest and exchange rate changes

Purpose – The purpose of this paper is to investigate the impact of foreign exchange and interest rate changes on US banks’ stock returns. Design/methodology/approach – The approach employs an EGARCH model to account for the ARCH effects in daily returns. Most prior studies have used standard OLS estimation methods with the result that the presence of ARCH effects would have affected estimation efficiency. For comparative purposes, the standard OLS estimation method is also used to measure sensitivity. Findings – The findings are as follows: under the conditional t-distributional assumption, the EGARCH model generated a much better fit to the data although the goodness-of-fit of the model is not entirely satisfactory; the market index return accounts for most of the variation in stock returns at both the individual bank and portfolio levels; and the degree of sensitivity of the stock returns to interest rate and FX rate changes is not very pronounced despite the use of high frequency data. Earlier results had indicated that daily data provided greater evidence of exposure sensitivity. Practical implications – Assuming that banks do not hedge perfectly, these findings have important financial implications as they suggest that the hedging policies of the banks are not reflected in their stock prices. Alternatively, it is possible that different GARCH-type models might be more appropriate when modelling high frequency returns. Originality/value – The paper contributes to existing knowledge in the area by showing that ARCH effects do impact on measures of sensitivity.

Schematic structure and the modulation of propositions in economics forecasting text

Working within the framework of the branch of Linguistics known as discourse analysis, and more specifically within the current approach of genre analysis, this thesis presents an analysis of the English of economic forecasting. The language of economic forecasting is highly specialised and follows certain conventions of structure and style. This research project identifies these characteristics and explains them in terms of their communicative function. The work is based on a corpus of texts published in economic reports and surveys by major corporate bodies. These documents are targeted at an international expert readership familiar with this genre. The data is analysed at two broad levels: firstly, the macro-level of text structure which is described in terms of schema-theory, a currently influential model of analysis, and, secondly, the micro-level of authors' strategies for modulating the predictions which form the key move in the forecasting schema. The thesis aims to contribute to the newly developing field of genre analysis in a number of ways: firstly, by a coverage of a hitherto neglected but intrinsically interesting and important genre (Economic Forecasting); secondly, by testing the applicability of existing models of analysis at the level of schematic structure and proposing a genre-specific model; thirdly by offering insights into the nature of modulation of propositions which is often broadly classified as `hedging' or `modality', and which has been recently described as lq`an area for prolonged fieldwork'. This phenomenon is shown to be a key feature of this particular genre. It is suggested that this thesis, in addition to its contribution to the theory of genre analysis, provides a useful basis for work by teachers of English for Economics, an important area of English for Specific Purposes.

Impact of derivatives trading on emerging stock markets:some evidence from India

It is generally accepted that the introduction of financial derivatives that facilitate hedging is an important step in the development of stock markets. However, financial derivatives can potentially increase volatility in the underlying cash market, which might be detrimental to the development of the stock market itself. Using data from India, we examine one possible route through which derivatives trading can increase cash market volatility: expiration day effect. Our results indicate that expiration of equity derivatives contracts does not have any effect on the intra-day volatility of the market index, and it reduces the volatility of inter-day returns to the index.

The exchange rate exposure of UK non-financial companies

Purpose – The purpose of this paper is to investigate the exchange rate exposure of UK nonfinancial companies from January 1981 to December 2001. Design/methodology/approach – The study employs different exchange rate measures and adopts an equally weighted exchange rate. The analyses are conducted at the firm level. All analyses are conducted by regressing the firm’s exchange rate exposure coefficients on its size, foreign activity variables and financial hedging proxies over the whole sample period. Findings – The findings show that a higher percentage of UK non-financial companies are exposed to exchange rate changes than those reported in previous studies. Generally, the results provide a stronger support for the suggested equally weighted rate as an economic variable, which affects firms’ stock returns. The results also show a high proportion of positive exposure coefficients among firms with significant exchange rate exposure, indicating a higher proportion of firms benefiting from an appreciation of the pound. Finally, the results also indicate evidence that firms’ foreign operations and hedging variables affect their sensitivity to exchange rate exposure. Practical implications – This study provides important implications for public policymakers who wish to understand links between policies that affect exchange rates and relative wealth effects. Originality/value – The empirical results of this study should help investors to examine how common stock returns react to exchange rate fluctuations when making financial decisions, and prove useful for financial managers when measuring exposure to foreign exchange rate changes.

International risk management:systems, internal control and corporate governance

This book is very practical in its international usefulness (because current risk practice and understanding is not equal across international boundaries). For example, an accountant in Belgium would want to know what the governance regulations are in that country and what the risk issues are that he/she needs to be aware of. This book covers the international aspect of risk management systems, risk and governance, and risk and accounting. In doing so the book covers topics such as: internal control and corporate governance; risk management systems; integrating risk into performance management systems; risk and audit; governance structures; risk management of pensions; pension scheme risks e.g. hedging derivatives, longevity bonds etc; risk reporting; and the role of the accountant in risk management. There are the case studies through out the book which illustrate by way of concrete practical examples the major themes contained in the book. The book includes highly topical areas such as the Sarbanes Oxley Act and pension risk management.

Candidate knowledge? Exploring epistemic claims in scientific writing:a corpus-driven approach

In this article I argue that the study of the linguistic aspects of epistemology has become unhelpfully focused on the corpus-based study of hedging and that a corpus-driven approach can help to improve upon this. Through focusing on a corpus of texts from one discourse community (that of genetics) and identifying frequent tri-lexical clusters containing highly frequent lexical items identified as keywords, I undertake an inductive analysis identifying patterns of epistemic significance. Several of these patterns are shown to be hedging devices and the whole corpus frequencies of the most salient of these, candidate and putative, are then compared to the whole corpus frequencies for comparable wordforms and clusters of epistemic significance. Finally I interviewed a ‘friendly geneticist’ in order to check my interpretation of some of the terms used and to get an expert interpretation of the overall findings. In summary I argue that the highly unexpected patterns of hedging found in genetics demonstrate the value of adopting a corpus-driven approach and constitute an advance in our current understanding of how to approach the relationship between language and epistemology.

Epistemic Modality in Linguistic and Literature Essays in English : A comparative corpus-based study of modal verbs in student claims

This study is a corpus-based comparison between student essays written in the subject areas of English linguistics and literature at undergraduate level. They are 200 Bachelor degree theses submitted at a variety of university departments (such as English, Language and Literature, Humanities, Social and Intercultural Studies) in Sweden. The comparison concerns frequencies of core modal verbs and how often they occur together with the I, we and it subject pronouns and in the structures this/the [essay, study, project, thesis] when students attempt to communicate their personal claims. Quantitative and qualitative analyses of the essays show few similarities in the ways that core modal verbs appear in both disciplines. The results indicate mainly distinct differences, especially in relation to clusters and variation of performative verbs. Specific patterns in the ways that students use core modal verbs as hedges have also been identified.

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