Modelo de fatores para commodities e cenários de preços no curto prazo: o caso da soja
DOI:
https://doi.org/10.1590/0101-41615016fbaPalavras-chave:
modelos em commodities, Contratos futuros da soja, Cenários de preçosResumo
Este artigo analisa os cenários futuros de curto prazo para o preço à vista da soja. A abordagem é feita modelando os fatores não observáveis por processos estocásticos com a inclusão do componente sazonal. As variáveis de observação são os preços futuros (estrutura a termo dos contratos futuros). Procede-se a estimação do modelo pelo filtro de Kalman. Os resultados mostram um cenário de curto mais favorável aos produtores e exportadores. Por outro lado, os consumidores e importadores, têm uma indicação de que medidas de proteção são necessárias para suas posições. A análise pode ser estendida a outras commodities dependentes da sazonalidade. Da mesma forma, o modelo pode empregado no apreçamento de derivativos onde o ativo subjacente é o preço futuro.
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Referências
Aiube, F. A. L., T. K. N. Baidya and E. A. H. Tito. “Analysis of Commodity Prices with the Particle Filter”. Energy Economics 30, (2008): 597–605.
Alquist, R., L. Kilian and R.J. Vigfusson. “Forecasting the Price of Oil”. In the G. Elliott and A. Timmermann (eds.), Handbook of Economic Forecasting 2, Amsterdam, 2013.
Babbs, S. H. and K. B. Nowman. “Kalman Filtering of Generalized Vasicek Term Structure Models.” Journal of Financial and Quantitative Analysis 34, no. 1 (1999): 115-130.
Baumeister, C., and L. Kilian “Forty Years of Oil Price Fluctuations: Why the Price of Oil May Still Surprise Us”. Journal of Economic Perspectives 30, (2016): 139-160.
Bessembinder, H., J. F. Coughenour, M. Smoller, and P. J. Seguin. “Mean Reversion in Equilibrium Asset Prices: Evidence from the Futures Term Structure.” Journal of Finance 50, no. 1 (1995): 361-375.
Brennan, M., and E. S. Schwartz. “Evaluating Natural Resource Investments.” The Journal of Business 58, no. 2, (1985): 135-157.
Campbell, J. Y., A. Lo, and, A. C. MacKinley. The econometrics of financial markets. Princeton University Press, 1997.
Cortazar, G. and L. Naranjo, “An N‐factor Gaussian model of oil futures prices.” Journal Future Markets 26, (2006): 243-268.
Durbin, J. and S. J. Koopman. Time Series Analysis by State Space Methods. Oxford University Press, 2002.
Geman, H. Commodities and Commodity Derivatives: Modeling and Pricing for Agriculturals, Metals and Energy. John Wiley & Sons, Ltd, 2005.
Geman, H. and V. Nguyen, “Soybean inventory and forward curve dynamics.” Management Science 51, no. 7, (2005):1076–1091.
Gibson, R. and E. S. Schwartz. “Stochastic Convenience Yield and the Pricing of Oil Contingent Claims.” Journal of Finance 45, no. 3, (1990):959-976.
Hamilton, J. D. Time Series Analysis. Princeton: Princeton University Press, 1994
Hamilton, J. D. and J. C. Wu. “Risk premia in crude oil futures prices.” Journal of International Money and Finance 42, (2014) 9-37.
Harvey, A. Forecasting, Structural Time Series Models and the Kalman Filter. Cambridge: Cambridge University Press, 1989.
Hikspoors, S. and S. Jaimungal, “Energy spot price models and spread options pricing.” International Journal of Theoretical and Applied Finance 10, no. 7, (2007): 1111-1135.
Javaheri, A., D. Lautier, and A. Galli. “Filtering in Finance”. Wilmott Magazine 3, (2003): 67-83.
Kaldor, N. “Speculation and Economic Stability.” The Review of Economic Studies 7, (1939): 1-27, http://dx.doi.org/10.2307/2967593.
Kilian, L. “Oil price shocks: Causes and consequences.” Annual Review of Resource Economics 6, no. 1, (2014): 133-154.
Lucia, J. J., and E. S. Schwartz. “Electricity prices and power derivatives: Evidence from the Nordic Power Exchange.” Review of Derivatives Research, (2001): 5-50.
Manoliu, M., and S. Tompaidis. “Energy futures prices: term structure models with Kalman filter estimation.” Applied Mathematical Finance, 9, no. 1, (2002): 21-43.
Ministério da Indústria, Comércio Exterior e Serviços. “Comex Vis: Principais Produtos Exportados.” Acessado em março de 2018. http://www.mdic.gov.br/comercio-exterior/estatisticas-de-comercio-exterior/comex-vis/frame-ppe
Pilipovic, D. Energy Risk: Valuing And Managing Energy Derivatives. New York: McGraw-Hill, 1998.
Pindyck, R. S. “The Long-Run Evolutions of Energy Prices.” The Energy Journal 20, no. 2, (1999): 1-27.
Postali, F. A. and Picchetti, P. “Geometric Brownian Motion and structural breaks in oil prices: A quantitative analysis.” Energy Economics 28, no. 4, (2006): 506-522.
Prokopczuk K, M. and Y. Wu. “The Determinants of Convenience Yields.” University of Reading and Zeppelin University Working Paper (2013).
Schwartz, E. S. “The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging.” Journal of Finance 52, no. 3, (1997): 923-973.
Schwartz, E. S. and, J. E. Smith. “Short-Term Variations and Long-Term Dynamics in Commodity Prices.” Management Science 46, no. 7, (2000): 893-911.
Shafiee, S., and E. Topal. “A long-term view of worldwide fossil fuel prices”. Applied Energy, no. 87, (2010): 988-1000.
Sørensen, C. “Modeling seasonality in agricultural commodity futures.” Journal of Futures Markets 22, no. 5, (2002): 93-426.
Villaplana, P. “Pricing Power Derivatives: A Two-Factor Jump-Diffusion Approach.” Working paper, Universidad Carlos III de Madrid, 2003.
Alquist, R., L. Kilian and R.J. Vigfusson. “Forecasting the Price of Oil”. In the G. Elliott and A. Timmermann (eds.), Handbook of Economic Forecasting 2, Amsterdam, 2013.
Babbs, S. H. and K. B. Nowman. “Kalman Filtering of Generalized Vasicek Term Structure Models.” Journal of Financial and Quantitative Analysis 34, no. 1 (1999): 115-130.
Baumeister, C., and L. Kilian “Forty Years of Oil Price Fluctuations: Why the Price of Oil May Still Surprise Us”. Journal of Economic Perspectives 30, (2016): 139-160.
Bessembinder, H., J. F. Coughenour, M. Smoller, and P. J. Seguin. “Mean Reversion in Equilibrium Asset Prices: Evidence from the Futures Term Structure.” Journal of Finance 50, no. 1 (1995): 361-375.
Brennan, M., and E. S. Schwartz. “Evaluating Natural Resource Investments.” The Journal of Business 58, no. 2, (1985): 135-157.
Campbell, J. Y., A. Lo, and, A. C. MacKinley. The econometrics of financial markets. Princeton University Press, 1997.
Cortazar, G. and L. Naranjo, “An N‐factor Gaussian model of oil futures prices.” Journal Future Markets 26, (2006): 243-268.
Durbin, J. and S. J. Koopman. Time Series Analysis by State Space Methods. Oxford University Press, 2002.
Geman, H. Commodities and Commodity Derivatives: Modeling and Pricing for Agriculturals, Metals and Energy. John Wiley & Sons, Ltd, 2005.
Geman, H. and V. Nguyen, “Soybean inventory and forward curve dynamics.” Management Science 51, no. 7, (2005):1076–1091.
Gibson, R. and E. S. Schwartz. “Stochastic Convenience Yield and the Pricing of Oil Contingent Claims.” Journal of Finance 45, no. 3, (1990):959-976.
Hamilton, J. D. Time Series Analysis. Princeton: Princeton University Press, 1994
Hamilton, J. D. and J. C. Wu. “Risk premia in crude oil futures prices.” Journal of International Money and Finance 42, (2014) 9-37.
Harvey, A. Forecasting, Structural Time Series Models and the Kalman Filter. Cambridge: Cambridge University Press, 1989.
Hikspoors, S. and S. Jaimungal, “Energy spot price models and spread options pricing.” International Journal of Theoretical and Applied Finance 10, no. 7, (2007): 1111-1135.
Javaheri, A., D. Lautier, and A. Galli. “Filtering in Finance”. Wilmott Magazine 3, (2003): 67-83.
Kaldor, N. “Speculation and Economic Stability.” The Review of Economic Studies 7, (1939): 1-27, http://dx.doi.org/10.2307/2967593.
Kilian, L. “Oil price shocks: Causes and consequences.” Annual Review of Resource Economics 6, no. 1, (2014): 133-154.
Lucia, J. J., and E. S. Schwartz. “Electricity prices and power derivatives: Evidence from the Nordic Power Exchange.” Review of Derivatives Research, (2001): 5-50.
Manoliu, M., and S. Tompaidis. “Energy futures prices: term structure models with Kalman filter estimation.” Applied Mathematical Finance, 9, no. 1, (2002): 21-43.
Ministério da Indústria, Comércio Exterior e Serviços. “Comex Vis: Principais Produtos Exportados.” Acessado em março de 2018. http://www.mdic.gov.br/comercio-exterior/estatisticas-de-comercio-exterior/comex-vis/frame-ppe
Pilipovic, D. Energy Risk: Valuing And Managing Energy Derivatives. New York: McGraw-Hill, 1998.
Pindyck, R. S. “The Long-Run Evolutions of Energy Prices.” The Energy Journal 20, no. 2, (1999): 1-27.
Postali, F. A. and Picchetti, P. “Geometric Brownian Motion and structural breaks in oil prices: A quantitative analysis.” Energy Economics 28, no. 4, (2006): 506-522.
Prokopczuk K, M. and Y. Wu. “The Determinants of Convenience Yields.” University of Reading and Zeppelin University Working Paper (2013).
Schwartz, E. S. “The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging.” Journal of Finance 52, no. 3, (1997): 923-973.
Schwartz, E. S. and, J. E. Smith. “Short-Term Variations and Long-Term Dynamics in Commodity Prices.” Management Science 46, no. 7, (2000): 893-911.
Shafiee, S., and E. Topal. “A long-term view of worldwide fossil fuel prices”. Applied Energy, no. 87, (2010): 988-1000.
Sørensen, C. “Modeling seasonality in agricultural commodity futures.” Journal of Futures Markets 22, no. 5, (2002): 93-426.
Villaplana, P. “Pricing Power Derivatives: A Two-Factor Jump-Diffusion Approach.” Working paper, Universidad Carlos III de Madrid, 2003.
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Publicado
30-03-2020
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Copyright (c) 2020 Fernando Aiube, Bruna Carolina Fiúza Ferreira, Ariel Levy
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Como Citar
Aiube, F., Ferreira, B. C. F., & Levy, A. (2020). Modelo de fatores para commodities e cenários de preços no curto prazo: o caso da soja. Estudos Econômicos (São Paulo), 50(1), 159-182. https://doi.org/10.1590/0101-41615016fba
Atualizado em 02/08/2024