Modelo de fatores para commodities e cenários de preços no curto prazo

O caso da soja

Palavras-chave: modelos em commodities, Contratos futuros da soja, Cenários de preços

Resumo

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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Publicado
2020-03-09
Seção
Artigo