Mercado futuro de commodities agrícolas : um estudo sobre base e liquidez dos contratos

Abstract

Considering both the growing importance of futures markets in contemporaneous capitalist economies and the scarcity of works related to the theme in Brazil, this study intends to approach the causality relation between Futures-Cash Basis and Liquidity in the Brazilian futures markets of agricultural commodities. Specifically, it aims to select a theoretical approach which allows to understand the functional relation between Futures-Cash Basis and Liquidity, and to estimate an econometric model which allows the analysis of the causality between these two variables based on data of futures contracts of agricultural commodities (livestock, corn and coffee) from BM&F Bovespa. The study uses Vector Autoregression models and tools provided by them, showing evidences that Liquidity is endogenous to Futures-Cash Basis, emphasizing that the participants in the futures markets of agricultural

commodities decide if whether they enter or not the market by observing the Futures- Cash Basis.