Construção de um índice agrícola para o mercado derivativo de commodities agrícolas negociadas na BM&F

Abstract

Due the difficulties brazilian rural sector has been facing, the use of the derivatives markets has been getting importance and becoming an important tool to help the economical agents involved in the agronomic and industrial complex. The Bolsa de Mercadorias & Futuros (BM&F) is one of the places within the country where negotiations with agronomic and cattle derivatives occur and propitiate to the agents known as hedgers, which are the ones interested in the commodities acquisition and selling, the management of their products price risks. In Brazil there is a gap when it comes to formulating an agricultural index that can be used for price hedging, or as a reference for the risk analysis and for the feedback of the investments made with agricultural and cattle assets, as well as be used as a type of direct investment. Hence, this study had as its goal, to offer and to validate several methodologies to formulate an agricultural index for the commodities negotiated in the BM&F as well as develop forecasting models for this index. In general, all methodologies used to the formulation of the indices have proved to be applicable, in a way that all agents interested in developing and using them as a decision-making tool will be perfectly able to respond them and obtain the information they find necessary, however the biggest obstacle in its formulation is the data obtainment and standardization, plus its acceptance within the market and the forecasting models from the family ARCH have demonstrated a good performance in captivating the behavior.