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Uma análise da alocação de contratos futuros sobre commodities em portfólios diversificados; An analysis of commodity futures allocation in diversified portfolios

Silveira, Rodrigo Lanna Franco da
Fonte: Biblioteca Digitais de Teses e Dissertações da USP Publicador: Biblioteca Digitais de Teses e Dissertações da USP
Tipo: Tese de Doutorado Formato: application/pdf
Publicado em 08/10/2008 PT
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37.12%
O trabalho analisou o impacto da introdução dos contratos futuros agropecuários (de café arábica, soja, milho, açúcar cristal, etanol e boi gordo), negociados na Bolsa de Valores, Mercadorias e Futuros - BM&FBOVESPA, no risco e no retorno de uma carteira diversificada, composta por ações, títulos, ouro e dólar, entre agosto de 1994 e dezembro de 2007, sendo realizados estudos para o intervalo de tempo completo e para subdivisões de dois e três períodos, além de uma análise bianual. Foram consideradas diferentes estratégias com tais derivativos: posições estáticas (comprada ou vendida em contratos de primeiro vencimento ou de vencimentos superiores a seis meses), dinâmicas (com a utilização de médias móveis para se definir pela compra ou venda dos papéis em questão) e a partir de fundos de investimentos nacionais, que utilizam estes títulos em seus portfólios. Buscou-se ainda mensurar como a utilidade dos investidores foi alterada, considerando as composições ótimas da carteira e diferentes graus de aversão ao risco de tais agentes. Com o uso da Teoria do Portfólio, verificou-se que: a) as estratégias estáticas de compra e de venda de futuros sobre commodities elevaram a performance da carteira diversificada quando realizada análise bianual e para os períodos 1994-1998 e 1999-2003 em alguns casos...

Fetichismo da mercadoria e inconsciente: contribuições marxianas e psicanalíticas para uma teoria da ideologia; Commodity fetishism and unconscious: Marxian and Psychoanalytic contributions to a theory of ideology

Dezan, Lúcia Cristina
Fonte: Biblioteca Digitais de Teses e Dissertações da USP Publicador: Biblioteca Digitais de Teses e Dissertações da USP
Tipo: Dissertação de Mestrado Formato: application/pdf
Publicado em 16/05/2013 PT
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Este trabalho tem por objetivo construir um diálogo teórico entre a alienação do fetichismo da mercadoria, em Marx, e algumas categorias da psicanálise. A noção marxista clássica de ideologia, concebida como o desconhecimento e a distorção da consciência necessariamente produzidos pelas condições efetivas da realidade social, é criticada pelo filósofo esloveno Slavoj iek, ao trazer para o campo da ideologia a noção psicanalítica de fantasia. Entretanto, realizamos uma primeira problematização dessa elaboração do filósofo por dirigir a sua crítica a essa noção de ideologia, remetendo-a ao fetichismo da mercadoria. Mostramos que esse conceito de ideologia a que a sua crítica se dirige se adéqua justamente à noção de ideologia desenvolvida por Marx e Engels nA ideologia alemã, e não ao fetichismo da mercadoria, visto que o fetichismo comporta uma noção mais complexa que não se resume a um mero desconhecimento da realidade e a uma distorção socialmente necessária da consciência. Retornamos a O capital de Marx para mostrar as imbricações da fantasia no fetichismo da mercadoria e para mostrar que a sujeição que atinge os sujeitos sob a alienação fetichista é da ordem do inconsciente. No contexto da relação entre fetichismo da mercadoria e inconsciente...

Reducing Distortions in International Commodity Markets : An Agenda for Multilateral Cooperation

Hoekman, Bernard; Martin, Will
Fonte: Banco Mundial Publicador: Banco Mundial
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Global commodity markets are affected by a variety of government policies that may expand or lower overall supply and as a result affect world prices for the specific products concerned. Market failures and market structures (market power along the value chain) also affect supply. This paper briefly reviews a number of factors that may distort international commodity markets with a view to identifying elements of an agenda for multilateral cooperation to reduce such distortions. Much of the policy agenda that arises is domestic and requires action by national governments. But numerous policies -- or absence of policy -- generate international spillovers that call for the negotiation of international policy disciplines. Independent of whether distortions are local or international in scope, the complexity of prevailing market structures and their impacts on efficiency call for much greater monitoring and analysis by the international community.

Primary Commodity Prices : Co-movements, Common Factors and Fundamentals

Byrne, Joseph P.; Fazio, Giorgio; Fiess, Norbert
Fonte: Banco Mundial Publicador: Banco Mundial
Relevância na Pesquisa
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The behavior of commodities is critical for developing and developed countries alike. This paper contributes to the empirical evidence on the co-movement and determinants of commodity prices. Using nonstationary panel methods, the authors document a statistically significant degree of co-movement due to a common factor. Within a Factor Augmented VAR approach, real interest rate and uncertainty, as postulated by a simple asset pricing model, are both found to be negatively related to this common factor. This evidence is robust to the inclusion of demand and supply shocks, which both positively impact on co-movement of commodity prices.

The Relative Volatility of Commodity Prices : A Reappraisal

Arezki, Rabah; Lederman, Daniel; Zhao, Hongyan
Fonte: Banco Mundial Publicador: Banco Mundial
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This paper studies the volatility of commodity prices on the basis of a large dataset of monthly prices observed in international trade data from the United States over the period 2002 to 2011. The conventional wisdom in academia and policy circles is that primary commodity prices are more volatile than those of manufactured products, although most of the existing evidence does not actually attempt to measure the volatility of prices of individual goods or commodities. The literature tends to focus on trends in the evolution and volatility of ratios of price indexes composed of multiple commodities and products. This approach can be misleading. Indeed, the evidence presented in this paper suggests that on average prices of individual primary commodities are less volatile than those of individual manufactured goods. However, the challenges of managing terms of trade volatility in developing countries with concentrated export baskets remain.

Placing the 2006/08 Commodity Price Boom into Perspective

Baffes, John; Haniotis, Tassos
Fonte: Banco Mundial Publicador: Banco Mundial
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The 2006-08 commodity price boom was one of the longest and broadest of the post-World War II period. Apart from strong and sustained economic growth, the recent boom was fueled by numerous factors, including low past investment in extractive commodities, weak dollar, fiscal expansion, and lax monetary policy in many countries, and investment fund activity. At the same time, the combination of adverse weather conditions, the diversion of some food commodities to the production of biofuels, and government policies (including export bans and prohibitive taxes) brought global stocks of many food commodities down to levels not seen since the early 1970s. This in turn accelerated the price increases that eventually led to the 2008 rally. The weakening and/or reversal of these factors coupled with the financial crisis that erupted in September 2008 and the subsequent global economic downturn, induced sharp price declines across most commodity sectors. Yet, the main price indices are still twice as high compared to their 2000 real levels...

Are Commodity Prices More Volatile Now? A Long-Run Perspective

Calvo-Gonzalez, Oscar; Shankar, Rashmi; Trezzi, Riccardo
Fonte: Banco Mundial Publicador: Banco Mundial
Relevância na Pesquisa
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Soaring commodity prices in 2007 and 2008 raised concerns that volatility was also rising, which would have implications for welfare and therefore for the design of public policy interventions. The literature focuses on trends in commodity prices rather than their volatility characteristics. This paper contributes by examining commodity price volatility with a newly compiled monthly panel dataset on 45 individual commodity prices from the end of the 18th century until today. The main conclusions are: the timing and number of breaks in volatility vary considerably across individual commodities, cautioning against generalizations based on the use of commodity price indices; the three most significant breaks common to most commodities are the two world wars and the collapse of the Bretton-Woods system; and structural breaks marking increased price volatility are followed by breaks marking declines in volatility so that there is no upward or downward trend in volatility over time.

More on the Energy/Non-Energy Commodity Price Link

Baffes, John
Fonte: Banco Mundial Publicador: Banco Mundial
Relevância na Pesquisa
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This paper examines the energy/non-energy commodity price link, based on a reduced form econometric model and using annual data from 1960 to 2008. The transmission elasticity from energy to the non-energy index is estimated at 0.28. At a more disaggregated level, the fertilizer index exhibited the largest elasticity (0.55), followed by precious metals (0.46), food (0.27), metals and minerals (0.25), and raw materials (0.11). By contrast, only a few price indices responded strongly to inflation, although the trend parameter estimate (often viewed as a proxy for technological progress) is negative for agriculture and positive for metals. A key implication of the pass-through results is that for as long as energy prices remain elevated, most non-energy commodity prices are expected to be high.

The Short and Longer Term Potential Welfare Impact of Global Commodity Inflation in Tanzania

Dessus, Sébastien
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Relevância na Pesquisa
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This paper uses a computable general equilibrium model to assess the welfare impact of commodity price inflation in Tanzania and possible tax policy responses in the short, medium, and long term. The results suggest that global commodity inflation since 2006 may have had a significantly negative impact on all Tanzanian households. Most of the negative impact comes from the rise in the price of oil. In contrast, food price spikes are potentially welfare improving for all Tanzanian households in the medium to long run. In comparison with nonpoor households, poor households in Tanzania may be relatively shielded from global commodity inflation because they derive a larger share of their incomes from agricultural activity and consume less oil-intensive products. Finally, the results suggest that tax policies encouraging greater agricultural production and consumption may help to reduce poverty. In contrast, policies discouraging agricultural production (such as export bans) bear the risk of increasing poverty in the long run. However...

Reducing Distortions in International Commodity Markets

Hoekman, Bernard; Martin, Will
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Relevância na Pesquisa
37.08%
World commodity markets and particularly the markets for agricultural commodities remain highly distorted despite the wave of liberalization that has swept world trade since the 1980s. Commodity markets are distorted on both the export and the import sides, with serious implications for world prices and their volatility. Very few of the price distortions found in commodity markets can be justified on the grounds of dealing with market failures. Rather, most policies that affect commodity prices are designed to transfer resources to favored groups by raising or lowering prices. Policies may target the level and/or the volatility of prices, and the pursuit of one type of policy objective may have unintended consequences in generating further distortions. Moreover, some commodity markets are characterized by imperfect competition. Where monopolies or oligopolies in trade arise, either because of government regulation or through other barriers to entry, distortions may arise that call for application of antitrust laws and other forms of pro-competitive policy action.

Using Markets to Deal with Commodity Price Volatility : What Can Governments and Donors Do to Develop Markets that Ameliorate Commodity Price Volatility?

Larson, Donald; Varangis, Panos
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
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Commodities are often at the heart of local and sometimes national economies. Commodity prices are notoriously volatile, creating instability and uncertainty for commodity-dependent developing countries. Commodity price instability undermines economic growth and skews the distribution of income. As a result, nearly every government has tried to manage commodity price risks. This Note discusses different sets of commodity pricing policies and the barriers to their risk management.

Effective cross-hedging for commodity currencies

Bowman, Chakriya
Fonte: Crawford School of Economics and Government, The Australian National University; http://www.crawford.anu.edu.au Publicador: Crawford School of Economics and Government, The Australian National University; http://www.crawford.anu.edu.au
Tipo: Other; Working/Technical Paper Formato: 32 pages
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There has been little evidence in the past to support the use of commodity-currency cross-hedges (Demaskey and Pearce, 1998; Benet, 1990; Eaker and Grant, 1987). However, this paper shows that if currencies can be defined as commodity currencies, as per Chen and Rogoff (2003) and Cashin, Céspedes and Sahay (2004), commodity currency cross-hedges are effective and beneficial. Two commodity currencies, the Papua New Guinea kina and the Australian dollar, are shown here to be effectively hedged by commodity futures. Multiple commodity hedges generally improved performance, with four-commodity basket hedges effective for both currencies.

Commodity Market Reform in Africa : Some Recent Experience

Akiyama, Takamasa; Baffes, John; Larson, Donald F.; Varangis, Panos
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Publications & Research :: Policy Research Working Paper; Publications & Research
ENGLISH; EN_US
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Since the early 1980s, dramatic changes in export commodity markets, shocks associated with resulting price declines, and changing views on the role of the state have ushered in widespread reforms to agricultural commodity markets in Africa. The reforms significantly reduced government participation in the marketing and pricing of commodities. Akiyama, Baffes, Larson, and Varangis examine the background, causes, process, and consequences of these reforms and derive lessons for successful reforms from experiences in markets for four commodities important to Africa-cocoa, coffee, cotton, and sugar. The authors' commodity focus highlights the special features associated with these markets that affect the reform process. They complement the current literature on market reforms in Africa, where grain-market studies are more common. The authors suggest that the types of market interventions prior to reform are more easily classified by crop than by country. Consequently, there are significant commodity-specific differences in the initial conditions and in the outcomes of reforms related to these markets. But there are general lessons as well. The authors find that the key consequences of reform have been significant changes in or emergence of marketing institutions and a significant shift of political and economic power from the public to the private sector. In cases where interventions were greatest and reforms most complete...

An Empirical Investigation of the Nexus among Money Balances, Commodity Prices and Consumer Goods’ Prices

Grigoli, Francesco
Fonte: Banco Mundial Publicador: Banco Mundial
Tipo: Publications & Research :: Policy Research Working Paper
ENGLISH
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This paper aims to identify the nexus between the excess of liquidity in the United States and commodity prices over the 1983-2006 period. In particular, it assesses whether commodity prices react more powerfully than consumer goods' prices to changes in real money balances. Within a cointegrated vector autoregressive framework, the author investigates whether consumer prices and commodity prices react to excess liquidity, and if the different price elasticities of supply for goods and commodities allow for differences in the dynamic paths of price adjustment to a liquidity shock. The results show a positive relationship between real money and real commodity prices and provide empirical evidence for a stronger response of commodity prices with respect to consumer goods' prices. This could imply that, if the magnitude of the reaction is due the fact that consumer goods' prices are slower to react, then their long-run value can be predicted with the help of commodity prices. The findings support the view that the latter should be considered as a valid monetary indicator.

Commodity Price Uncertainty in Developing Countries

Dehn, Jan
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Publications & Research :: Policy Research Working Paper; Publications & Research
ENGLISH; EN_US
Relevância na Pesquisa
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Uncertainty about commodity export prices is important to developing countries -- both governments and producers -- that export primary commodities. Commodity export price uncertainty is typically measured as the standard deviation in the terms of trade. There are three problems with this approach: 1) Terms of trade indices are unsuitable as proxies for commodity price movements per se. 2) The shortness of terms of trade time series makes them inappropriate as a base for constructing time-varying uncertainty measures. 3) Simple standard deviation measures ignore the distinction between predictable and unpredictable elements in the price process, so they risk overstating uncertainty. 4) The author examines commodity price uncertainty in developing countries using new data for quarterly aggregate commodity price indices for 113 developing countries for the period 1957-97. Each index is a geometrically weighted index of 57 commodity prices. He constructs six different measures of uncertainty. The uncertainty measures confirm the importance of distinguishing between predictable and unpredictable components in the price process. But there is a positive...

Agricultural Commodity Exchanges in Latin America and the Caribbean

Arias, Diego; Ferreira Lamas, Alfredo; Kpaka, Musa
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Publications & Research :: Working Paper; Publications & Research
ENGLISH; EN_US
Relevância na Pesquisa
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A commodity exchange is a goods and financial market where different groups of participants trade commodities and commodity-linked contracts, with the underlying objective of transferring exposure to commodity price risks (UNCTAD). A commodity exchange that only trades goods is known as a physical or 'cash or forward' market, while the exchange that trades price derivatives is known as financial or 'futures and options' market (see Glossary for detailed definitions). Some agriculture commodity exchanges have both. Agricultural commodity exchanges date as far back as the early 18th century. Modern exchanges, notably the Chicago Board of Trade (CBOT) was created in 1848, recently merged with the Chicago Mercantile Exchange (CME), is one the oldest and most successful futures exchanges worldwide. Today several agricultural commodity exchanges exist throughout the Latin America and Caribbean (LAC) region. They facilitate trade and financial products in countries whose economies have a relatively large share of primary and secondary agricultural activities or either account for auctions on substantial food imports. This report looks at the current development of agricultural commodity exchanges in the LAC region and offers public policy recommendations that can foster the development of such exchange markets.

Boom, Bust and Up Again? Evolution, Drivers and Impact of Commodity Prices: Implications for Indonesia; Laporan pengembangan sektor perdagangan - perkembangan, pemicu dan dampak harga komoditas : implikasinya terhadap perekonomian Indonesia

World Bank
Fonte: World Bank, Jakarta Publicador: World Bank, Jakarta
Tipo: Economic & Sector Work :: Foreign Trade, FDI, and Capital Flows Study; Economic & Sector Work
EN_US
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Indonesia is one of the largest commodity exporters in the world, and given its mineral potential and expected commodity price trends, it could and should expand its leading position. Commodities accounted for one fourth of Indonesia's Gross Domestic Product (GDP) and more than one fifth of total government revenue in 2007. The potential for further commodity growth is considerable. Indonesia is the largest producer of palm oil in the world (export earnings totaled almost US$9 billion in 2007 and employment 3.8 million full-time jobs) and the sector has good growth prospects. It is also one of the countries with the largest mining potential in view of its second-largest copper reserves and third-largest coal and nickel reserves in the world. This report consists of seven chapters. The first six chapters present an examination and an analysis of the factors driving increased commodity prices, price forecasts, economic impact of commodity price increases, effective price stabilization policies, and insights from Indonesia's past growth experience. The final chapter draws on the findings of the previous chapters and suggests a development strategy for Indonesia in the context of high commodity prices. This section summarizes the contents of the chapters and their main findings.

"Fairtrade” and Market Failures in Agricultural Commodity Markets

Ronchi, Loraine
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Publications & Research :: Policy Research Working Paper; Publications & Research
ENGLISH; EN_US
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This paper concerns an NGO intervention in agricultural commodity markets known as Fairtrade. Fairtrade pays producers a minimum unit price and provides capacity building support to member cooperative organizations. Fairtrade's organizational capacity support targets those factors believed to reduce the commodity producer's share of returns. Specifically, Fairtrade justifies its intervention in markets like coffee by claiming that market power and a lack of capacity in producer organizations 'marks down' the prices producers receive. As the market share of Fairtrade coffee grows in importance, its intervention in commodity markets is of increasing interest. Using an original data set collected from fieldwork in Costa Rica, this paper assesses the role of Fairtrade in overcoming the market factors it claims limits producer returns. Features of the Costa Rican input market for coffee permit a generalization of the results. The empirical results find that market power is a limiting factor in the Costa Rican market and that Fairtrade does improve the efficiency of cooperatives, thereby increasing the returns to producers. These results do not depend on the minimum price policy of Fairtrade and therefore can inform on its organizational support activities. Finally...

Modelling the rand and commodity prices: A Granger causality and cointegration analysis

Schaling,Eric; Ndlovu,Xolani; Alagidede,Paul
Fonte: South African Journal of Economic and Management Sciences Publicador: South African Journal of Economic and Management Sciences
Tipo: Artigo de Revista Científica Formato: text/html
Publicado em 01/01/2014 EN
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This paper examines the 'commodity currency' hypothesis of the Rand, that is, the postulate that the currency moves in line with commodity prices, and analyses the associated causality using nominal data between 1996 and 2010. We address both the short run and long run relationship between commodity prices and exchange rates. We find that while the levels of the series of both assets are difference stationary, they are not cointegrated. Further, we find the two variables are negatively related, with strong and significant causality running from commodity prices to the exchange rate and not vice versa, implying exogeneity in the determination of commodity prices with respect to the nominal exchange rate. The strength of the relationship is significantly weaker than other OECD commodity currencies. We surmise that the relationship is dynamic over time owing to the portfolio-rebalance argument and the Commodity Terms of Trade (CTT) effect and, in the absence of an error correction mechanism, this disconnect may be prolonged. For commodity and currency market participants, this implies that while futures and forward commodity prices may be useful leading indicators of future currency movements, the price risk management strategies may need to be recalibrated over time.

Empirical correlation of mineral commodity prices with exchange-traded mining stock prices

Nangolo,C.; Musingwini,C.
Fonte: Journal of the Southern African Institute of Mining and Metallurgy Publicador: Journal of the Southern African Institute of Mining and Metallurgy
Tipo: Artigo de Revista Científica Formato: text/html
Publicado em 01/07/2011 EN
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Mineral commodity prices comprise one of the key criteria in the selection of mining stocks. We contend that of the three principal elements of mineral commodity prices, spot price, forward price and long-term price, one has a greater impact on the share valuation processes used by investors. This research paper examines the extent to which each of these elements influences the valuation process. The intention is to provide investors in mining stocks with a greater understanding of how fluctuations of commodity prices over time affect the prices of the mining stocks they hold, or intend to sell or buy. Three mineral commodities, gold, silver, and copper, were used as case studies, since market data on these commodities is readily available in the public domain. Nine market indices covering all three mineral commodities were selected. These are based on clearly defined criteria with the intention of eliminating ambiguity and to test for correlation with the three sets of mineral commodity prices. Nine mining companies, which were not the primary drivers of the relevant indices employed in the study, were used to validate the results obtained from the indices in order to avoid duplication of the same correlation during cross-checking. Each commodity price was adjusted for operating costs. For each market index...