Efetividade do cross hedging dos novilhos argentinos e uruguaios no mercado futuro do boi gordo brasileiro

Na Argentina e no Uruguai, diversas tentativas de negociação de contratos futuros e de índice de preços de carne bovina foram frustradas ao longo dos anos, tendo os derivativos lançados fracassado, em um curto espaço de tempo, por falta de liquidez. Esse cenário, somado a outras particularidades do mercado físico da carne bovina, torna o gerenciamento de risco de preços um problema para os agentes econômicos que atuam nessa cadeia produtiva. Nesse contexto, emergiu a seguinte questão: a proteção cruzada com contratos futuros de boi gordo brasileiro da Bolsa de Valores, Mercadorias e Futuros de São Paulo (BM&FBovespa) é efetiva para a administração do risco de preços dos novilhos de corte no mercado a vista argentino e uruguaio? Com a finalidade de responder a essa questão, propôs-se a verificar se é possível mitigar o risco da volatilidade de preços no mercado a vista dos novilhos de corte argentinos e uruguaios por meio do cross hedging no mercado futuro do boi gordo brasileiro na BM&FBovespa. Para tanto, foram utilizados modelos estáticos e dinâmicos de estimação da razão de cross hedge ótima e efetividade em mitigação do risco. Os resultados do teste de hipóteses de mitigação do risco permitiram assegurar que são fortes as evidências de efetividade do mercado futuro do boi gordo brasileiro na proteção contra o risco de preços do mercado a vista dos novilhos argentinos e uruguaios. Complementarmente, verificou-se a hipótese de eficiência do mercado futuro. Os resultados apresentaram evidências de um relacionamento estocástico comum no longo prazo entre os preços a vista e futuros, e de eficiência na predição dos preços no curto prazo, o que sugere que os contratos futuros de boi gordo brasileiro da BM&FBovespa permitem uma trava adequada de cotação-preço para os novilhos argentinos e uruguaios no mercado a vista.

Better cross hedges with composite hedging? Hedging equity portfolios using financial and commodity futures

Unless a direct hedge is available, cross hedging must be used. In such circumstances portfolio theory implies that a composite hedge (the use of two or more hedging instruments to hedge a single spot position) will be beneficial. The study and use of composite hedging has been neglected; possibly because it requires the estimation of two or more hedge ratios. This paper demonstrates a statistically significant increase in out-of-sample effectiveness from the composite hedging of the Amex Oil Index using S&P500 and New York Mercantile Exchange crude oil futures. This conclusion is robust to the technique used to estimate the hedge ratios, and to allowance for transactions costs, dividends and the maturity of the futures contracts.

The cross-currency hedging performance of implied versus statistical forecasting models

This article examines the ability of several models to generate optimal hedge ratios. Statistical models employed include univariate and multivariate generalized autoregressive conditionally heteroscedastic (GARCH) models, and exponentially weighted and simple moving averages. The variances of the hedged portfolios derived using these hedge ratios are compared with those based on market expectations implied by the prices of traded options. One-month and three-month hedging horizons are considered for four currency pairs. Overall, it has been found that an exponentially weighted moving-average model leads to lower portfolio variances than any of the GARCH-based, implied or time-invariant approaches.

Cross-correlations between weather variables in Australia

The information on climate variations is essential for the research of many subjects, such as the performance of buildings and agricultural production. However, recorded meteorological data are often incomplete. There may be a limited number of locations recorded, while the number of recorded climatic variables and the time intervals can also be inadequate. Therefore, the hourly data of key weather parameters as required by many building simulation programmes are typically not readily available. To overcome this gap in measured information, several empirical methods and weather data generators have been developed. They generally employ statistical analysis techniques to model the variations of individual climatic variables, while the possible interactions between different weather parameters are largely ignored. Based on a statistical analysis of 10 years historical hourly climatic data over all capital cities in Australia, this paper reports on the finding of strong correlations between several specific weather variables. It is found that there are strong linear correlations between the hourly variations of global solar irradiation (GSI) and dry bulb temperature (DBT), and between the hourly variations of DBT and relative humidity (RH). With an increase in GSI, DBT would generally increase, while the RH tends to decrease. However, no such a clear correlation can be found between the DBT and atmospheric pressure (P), and between the DBT and wind speed. These findings will be useful for the research and practice in building performance simulation.

The mechanical strength of phosphates under friction-induced cross-linking

Purpose: In the present study, we consider mechanical properties of phosphate glasses under high temperatureinduced and under friction-induced cross-linking, which enhance the modulus of elasticity. Design/methodology/approach: Two nanomechanical properties are evaluated, the first parameter is the modulus of elasticity (E) (or Young's modulus) and the second parameter is the hardness (H). Zinc meta-, pyro - and orthophosphates were recognized as amorphous-colloidal nanoparticles were synthesized under laboratory conditions and showed antiwear properties in engine oil. Findings: Young's modulus of the phosphate glasses formed under high temperature was in the 60-89 GPa range. For phosphate tribofilm formed under friction hardness and the Young's modulus were in the range of 2-10 GPa and 40-215 GPa, respectively. The degree of cross-linking during friction is provided by internal pressure of about 600 MPa and temperature close to 1000°C enhancing mechanical properties by factor of 3 (see Fig 1). Research limitations/implications: The addition of iron or aluminum ions to phosphate glasses under high temperature - and friction-induced amorphization of zinc metaphosphate and pyrophosphate tends to provide more cross-linking and mechanically stronger structures. Iron and aluminum (FeO4 or AlO4 units), incorporated into phosphate structure as network formers, contribute to the anion network bonding by converting the P=O bonds into bridging oxygen. Future work should consider on development of new of materials prepared by solgel processes, eg., zinc (II)-silicic acid. Originality/value: This paper analyses the friction pressure-induced and temperature–induced the two factors lead phosphate tribofilm glasses to chemically advanced glass structures, which may enhance the wear inhibition. Adding the coordinating ions alters the pressure at which cross-linking occurs and increases the antiwear properties of the surface material significantly.