Please use this identifier to cite or link to this item: https://scholarhub.balamand.edu.lb/handle/uob/7057
Title: Dynamic connectedness between energy markets and the Brazilian cash market: An empirical analysis pre- and post-COVID-19
Authors: Palazzi, Rafael Baptista
Assaf, Ata 
Klotzle, Marcelo Cabus
Affiliations: Department of Business Administration 
Keywords: Brazilian agricultural and futures markets
COVID-19
Energy markets
Hedge ratio
Spillovers
TVP-VAR model
Issue Date: 2024-01-01
Publisher: Wiley Online Library
Part of: Journal of Futures Markets
Volume: 44
Issue: 1
Start page: 27
End page: 56
Abstract: 
Brazil's significant commodity production is internationally recognized, yet the absence of a mature futures market exposes it to price risks and international shocks. This study explores the dynamic connectedness between commodity futures and the Brazilian cash markets, using a time-varying parameter vector autoregressive model. We also assess COVID-19's impact on this connectedness. We find a significant influence of oil prices on Brazilian ethanol prices, and particularly emphasize the Heating Oil spillover effect on ethanol in the post-COVID-19 era. We also note the ascension of Brazilian soybean spot markets' international significance since 2017, amplifying their role in global grain price discovery. Finally, by computing hedge ratios and effectiveness between commodity futures contracts and Brazilian spot prices, our study reveals soybean cash price as the most effective hedge. These insights deepen comprehension of connectedness within Brazilian commodity markets, thereby guiding investors and policymakers in strategic energy policy decisions.
URI: https://scholarhub.balamand.edu.lb/handle/uob/7057
ISSN: 02707314
DOI: 10.1002/fut.22463
Ezproxy URL: Link to full text
Type: Journal Article
Appears in Collections:Department of Business Administration

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