文章基本信息

标题：CO-INTEGRATION, CAUSALITY AND EFFECTIVENESS OF HEDGE FOR FAT OX’S PRICES OF THE CONTRACT FOR PARANÁ STATE’S NORTHWEST
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作者：Daniel Ferreira Gonçalves ; Ari Antônio Francischini ; Alexandre Florindo Alves 等
期刊名称：Revista GEPEC
印刷版ISSN：1679-415X
电子版ISSN：1679-415X
出版年度：2008
卷号：12
期号：01
出版社：Universitade Estadual de Oeste do Paraná.
摘要：This article aimed to verify the relation between present price and credit price of the fat ox in Norwest region of the state of Parana. To do the analyse as credit price, we used the fat ox's credit price contract to first payment day gave by BM&F and as present price the series of price from Cepea on the studied region. The data are from the period of January, 3rd, 2001 to november, 6th, 2006. In the objective to verify the relation between the prices we used the causality test by Granger; the tests of co-integration based on Johansen and the results showed a long time balance between the two variables, and this result means that the variables are related. We verified the hedge to the region and also verified a bi caused relation between the variables of present price and credit price, showing that the agents when they make their decisions in the present market, they consider the day before's price until the first payment day contract, just like the credit price's agents when making decisions consider what's happening in present market. We also confirmed that the efectivity of the hedge is low on this region.