Dinâmica da relação entre o mercado futuro e o mercado à vista de commodities nas decisões de investimento: evidências para o mercado brasileiro

Abstract

This study explores the dynamics between the futures and spot markets for agricultural commodities in Brazil, focusing on four main products: corn, soybeans, Arabica coffee, and beef cattle. The study covers a 90-month period, from December 1, 2016 to May 31, 2024, encompassing the crisis caused by the COVID-19 pandemic. The Theory of Causality in time series, especially from the use of the Vector Error Correction Model (VECM) and the Granger Causality Test, as well as the method proposed by Toda-Yamamoto, allows us to investigate the causality relationships and the price discovery process, both in periods of stability and during the crisis. The results reveal that, in general, futures markets play a more prominent role in price discovery compared to spot markets, adjusting quickly. They demonstrate that in times of crisis, the futures market tends to lead price discovery, reflecting its ability to quickly incorporate new information and market expectations. In times of stability, a more balanced interaction is observed, with bidirectional causality in some commodities, providing a more collaborative price discovery process between markets. These findings have practical implications for investors and policymakers, indicating that hedging strategies and investment decisions need to consider the dynamic changes between futures and spot markets, especially in times of high volatility. Furthermore, the analysis suggests that, in times of crisis, the futures market can more effectively anticipate market expectations, reflecting more intensely economic uncertainties. This study contributes to the understanding of the complex interactions between commodity markets in Brazil, offering valuable insights into risk management in unstable economic environments.

Keywords: Future and Spot Market, Commodities, Causality and VECM Model.