Dynamic connectedness between energy markets and the Brazilian cash market: An empirical analysis pre- and post-COVID-19

IF 1.8 4区经济学 Q2 BUSINESS, FINANCE

Journal of Futures Markets Pub Date : 2023-09-27 DOI:10.1002/fut.22463

Rafael Baptista Palazzi, Ata Assaf, Marcelo Cabus Klotzle

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引用次数: 0

Abstract

Brazil's significant commodity production is internationally recognized, yet the absence of a mature futures market exposes it to price risks and international shocks. This study explores the dynamic connectedness between commodity futures and the Brazilian cash markets, using a time-varying parameter vector autoregressive model. We also assess COVID-19's impact on this connectedness. We find a significant influence of oil prices on Brazilian ethanol prices, and particularly emphasize the Heating Oil spillover effect on ethanol in the post-COVID-19 era. We also note the ascension of Brazilian soybean spot markets' international significance since 2017, amplifying their role in global grain price discovery. Finally, by computing hedge ratios and effectiveness between commodity futures contracts and Brazilian spot prices, our study reveals soybean cash price as the most effective hedge. These insights deepen comprehension of connectedness within Brazilian commodity markets, thereby guiding investors and policymakers in strategic energy policy decisions.

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能源市场与巴西现货市场之间的动态联系：COVID-19 前后的实证分析

巴西的重要商品生产得到了国际认可，但由于缺乏成熟的期货市场，巴西面临着价格风险和国际冲击。本研究利用时变参数向量自回归模型，探讨了商品期货与巴西现货市场之间的动态关联性。我们还评估了 COVID-19 对这种关联性的影响。我们发现油价对巴西乙醇价格有重大影响，尤其是在后 COVID-19 时代强调了取暖油对乙醇的溢出效应。我们还注意到，自 2017 年以来，巴西大豆现货市场的国际重要性不断提升，放大了其在全球谷物价格发现中的作用。最后，通过计算商品期货合约与巴西现货价格之间的对冲比率和有效性，我们的研究揭示了大豆现货价格是最有效的对冲工具。这些见解加深了对巴西商品市场内部联系的理解，从而为投资者和政策制定者做出战略性能源政策决策提供了指导。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Futures Markets BUSINESS, FINANCE-

CiteScore

3.70

自引率

15.80%

发文量

期刊介绍： The Journal of Futures Markets chronicles the latest developments in financial futures and derivatives. It publishes timely, innovative articles written by leading finance academics and professionals. Coverage ranges from the highly practical to theoretical topics that include futures, derivatives, risk management and control, financial engineering, new financial instruments, hedging strategies, analysis of trading systems, legal, accounting, and regulatory issues, and portfolio optimization. This publication contains the very latest research from the top experts.