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Registros recuperados: 65
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A crise econômica mundial de 2007 a 2009 e o setor exportador de café no Brasil: análise das perdas AgEcon
Pereira, Vanessa da Fonseca; Campos, Antonio Carvalho; Braga, Marcelo Jose; Mendonca, Talles Girardi de.
This study analyzed the Brazilian coffee exporter’s losses between the years 2002 and 2009, by emphasizing the 2007/09 crisis, which affected several sectors and generated instability and uncertainty about the future results of the economic activities. The Brazilian coffee exporting sector is fully inserted in this context, once it acts in the financial markets and it is still subject to the strong variations from the physical market. Thus, the central analysis dealt with the volatility of the exporters returns and was based on auto regressive models with conditional heteroscedaticity (ARCH) and on the Value at Risk (VAR) estimative. As a supplement, the effects from the external demand for the Brazilian coffee and from the exchange rate variation over the...
Tipo: Article Palavras-chave: Volatility; Coffee; Crisis; Demand and Price Analysis; International Relations/Trade.
Ano: 2011 URL: http://purl.umn.edu/121295
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Agricultural yield expectations under climate change - a Bayesian approach AgEcon
Krause, Jette.
In the years to come, German wheat, corn and aggregated cereal yields can be expected to show growing deviations from a linearly increasing trend. This results from the Bayesian Updating approach I apply to agricultural yield data. The updating procedure is carried out on a set of hypotheses on yield development, which are weighted in the light of yield data from 1950 through 2006. All hypotheses share the assumption of a linear yield trend with normally distributed variance of actual data from this trend, but differ in regard to possible future developments. The set of hypotheses allows for both the trend and the variance of data to stay unchanged, increase or decrease by 20 per cent from one period to the next. As a result, yield expectations converge to...
Tipo: Conference Paper or Presentation Palavras-chave: Bayesian updating; Agricultural yields; Expectation; Risk; Climate change; Trend; Variance; Volatility; Crop Production/Industries; Environmental Economics and Policy.
Ano: 2007 URL: http://purl.umn.edu/9273
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An Examination of the Volatile Nature of Grass Production in Ireland AgEcon
O'Connor, Declan; Hennessy, Deirdre; Shalloo, Laurence; Hurtado-Uria, Cristina.
Grass production provides Irish dairy farmers with a competitive advantage over many of their mainland European counterparts by providing a cheap feed source. The temperate climate in Ireland favours the production of grass, however production is highly seasonal with little growth over the winter period. This seasonal pattern of grass production in turn has resulted in predominantly spring calving dairy herds and has limited the development of the dairy product portfolio in Ireland which has created a reliance on dairy commodities. As Ireland exports approximately 80% of its dairy output, recent substantial increases in market price volatility has resulted in increased price volatility at farm level. The increased price volatility at market and farm level...
Tipo: Presentation Palavras-chave: Grass Production; Volatility; Risk Management; Risk Management Tools; Farm Management; Risk and Uncertainty.
Ano: 2012 URL: http://purl.umn.edu/122452
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ANÁLISE DA VOLATILIDADE DO DÓLAR E DO EURO: UM DIRECIONAMENTO PARA EMPRESAS DO AGRONEGÓCIO AgEcon
Jubert, Roberto Wagner; Paixao, Marcia Cristina; Maia, Sinezio Fernandes.
A análise do padrão da volatilidade dos retornos gerados por derivativos de moedas estrangeiras é tópico particularmente importante para empresas que realizam volume significativo de negócios com o exterior, a exemplo dos grandes produtores brasileiros de produtos agropecuários, e que atuam no mercado de derivativos buscando eliminar riscos financeiros ligados às variações das taxas de câmbio. Neste artigo, realizou-se uma análise do padrão da volatilidade dos retornos do dólar americano e do euro, utilizando-se modelos da classe ARCH, considerando como premissa básica que a variância condicional fornecida por estes modelos pode ser utilizada como proxy para a volatilidade dos retornos dos derivativos de moedas estrangeiras. Os resultados sugerem que...
Tipo: Conference Paper or Presentation Palavras-chave: Modelos ARCH; Taxa de câmbio; Volatilidade; ARCH models; Exchange rate; Volatility; International Relations/Trade.
Ano: 2008 URL: http://purl.umn.edu/114123
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ANÁLISE DA VOLATILIDADE DOS PREÇOS DE BOI GORDO NO ESTADO DE SÃO PAULO: UMA APLICAÇÃO DOS MODELOS GARCH AgEcon
Silva, Carlos Alberto Goncalves da.
O presente trabalho teve como objetivo realizar uma análise da volatilidade do retorno dos preços de boi gordo no Estado de São Paulo; examinando-se dois fatores determinantes, a persistência de choques e assimetrias na volatilidade, por meio da aplicação dos modelos ARCH/GARCH. Os resultados empíricos mostraram reações de persistência e assimetria na volatilidade, ou seja, os choques negativos e positivos têm impactos diferenciados sobre a volatilidade dos retornos dos preços do boi gordo, o que pode ser comprovado pelos modelos EGARCH e TARCH.--------------------------------------------- This paper aims to analyze the volatility process of the return the prices of beef cattle in the State of São Paulo; examining two factors determinatives, the...
Tipo: Conference Paper or Presentation Palavras-chave: Boi gordo; Volatilidade; Assimetria; Modelos ARCH/GARCH; Beef cattle; Volatility; Asymmetry; ARCH/GARCH models; Livestock Production/Industries.
Ano: 2008 URL: http://purl.umn.edu/113360
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ANÁLISE DA VOLATILIDADE DOS PREÇOS NO MERCADO SPOT DE CAFÉS DO BRASIL AgEcon
Lamounier, Wagner Moura.
It was intended in this research to detect and to analyze the existence of conditional volatility in the time series of the prices of the spot market of the Brazilian coffee in the New York Board of Trade (NYBOT) in the period between January of 1946 and December of 2000. The results of the models of GARCH type, applied for the prices of the coffee, indicated that the conditional variance of the residues of the models possess unit roots and the same one will not present a behavior of reversion to its historical average with passing of the time, after a shock. This happens because, the coefficients of volatility persistence had been all bigger or next to one
Tipo: Journal Article Palavras-chave: Volatility; GARCH model; Coffee prices..
Ano: 2006 URL: http://purl.umn.edu/43814
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Are The Poverty Effects of Trade Policies Invisible? AgEcon
Verma, Monika; Valenzuela, Ernesto; Hertel, Thomas W..
With the advent of the WTO’s Doha Development Agenda, as well as the Millennium Development Goals aiming to reduce poverty by 50 percent by 2015, poverty impacts of trade reforms have attracted increasing attention. This has been particularly true of agricultural trade reform due to the importance of food in the diets of the poor, relatively higher protection in agriculture, as well as the heavy concentration of global poverty in rural areas where agriculture is the main source of income. Yet some in this debate have argued that, given the extreme volatility in agricultural commodity markets, the additional price and poverty impacts due to trade liberalization might well be undetectable. This paper formally tests this “invisibility hypothesis” via...
Tipo: Conference Paper or Presentation Palavras-chave: Trade policy reform; Agricultural trade; Computable general equilibrium; Developing countries; Poverty headcount; Volatility; Stochastic simulation; Non-parametric hypothesis testing; Financial Economics; Risk and Uncertainty; C68; F17; I32; Q17; R20.
Ano: 2010 URL: http://purl.umn.edu/61793
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Asymmetry, Risk, and Correlation Dynamics in the U.S. Fiber Market AgEcon
Fadiga, Mohamadou L.; Misra, Sukant K..
This study looked at the dynamics of conditional correlations and hedging strategies in the US main cotton producing regions. A two-step procedure was utilized to model, estimate, and analyze volatility, conditional correlations, and the optimal hedge ratios using spot prices in the Delta, Southeast, Southern Plains, and the Southwest regions and the New York commodity exchanges December futures contracts. The results indicate that volatilities in most of the regions are asymmetric and persistent. The derived conditional correlations and the optimal hedging ratios are dynamic although they do not have unit root. Moreover, the changes in agricultural policies altered the dynamics of correlations and producers' hedging strategies in the Delta, Southeast,...
Tipo: Conference Paper or Presentation Palavras-chave: Cotton; Volatility; Asymmetry; Multivariate conditional correlations; Optimal; Risk and Uncertainty.
Ano: 2005 URL: http://purl.umn.edu/19459
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Basis Volatilities of Corn and Soybean in Spatially Separated Markets: The Effect of Ethanol Demand AgEcon
Bekkerman, Anton; Pelletier, Denis.
The 2006 spike in corn-based ethanol demand has contributed to the increase in basis volatility in corn and soybean markets across the United States, which has, to a significant degree, led to the observed large jumps in the prices of the two commodities. Despite the overall rise in basis volatility, there remain differences in the degree of volatility that exists across spatially separated markets, which might be caused by factors such as transportation costs, seasonality, and time-to-delivery. The focus of this study is threefold first, this work models basis data for six corn and soybean markets by using a multivariate GARCH model that incorporates the spatial linkages of these markets; next, the model is used to investigate whether the increase in...
Tipo: Conference Paper or Presentation Palavras-chave: Basis; Spatially separated markets; Multivariate GARCH; Volatility; Agricultural Finance; Demand and Price Analysis; Q11; Q14; G13.
Ano: 2009 URL: http://purl.umn.edu/49281
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Climate Volatility and Poverty Vulnerability in Tanzania AgEcon
Ahmed, Syud Amer; Diffenbaugh, Noah S.; Hertel, Thomas W.; Ramankutty, Navin; Rios, Ana R.; Rowhani, Pedram.
Climate volatility will increase in the future, with agricultural productivity expected to become increasingly volatile as well. For Tanzania, where food production and prices are sensitive to the climate, rising climate volatility can have severe implications for poverty. We develop and use an integrated framework to estimate the poverty vulnerabilities of different socio-economic strata in Tanzania under current and future climate. We find that households across various strata are similarly vulnerable to being impoverished when considered in terms of their stratum’s populations, with poverty vulnerability of all groups higher in the 21st Century than in the late 20th Century. When the contributions of the different strata to the national poverty changes...
Tipo: Conference Paper or Presentation Palavras-chave: Climate; Volatility; Poverty vulnerability; Tanzania; Environmental Economics and Policy; Food Security and Poverty; International Development.
Ano: 2009 URL: http://purl.umn.edu/49358
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Commodity Price Volatility: The Impact of Commodity Index Traders AgEcon
Getu, Hailu; Weersink, Alfons.
Over the years, critics have argued that futures market prices have been either too low or too high. Speculators have often been the target for the wrath of those feeling the futures price does not properly reflect market fundamentals. Recently, the criticism has been vented toward a new type of speculator that has been blamed for the dramatic changes in agricultural commodity prices experienced over the last several years. Commodity index traders (CITs) and other large institutional traders are commonly accused of exerting a destabilizing influence on commodity prices. The intensity of the debate over the role of CITs appeared to wane with the reduction in commodity prices since 2008 but the recent release of a well-publicized OECD report on the issue by...
Tipo: Report Palavras-chave: Commodity; Index futures; Trading; Volatility; Agribusiness; Agricultural and Food Policy; Demand and Price Analysis; Marketing.
Ano: 2010 URL: http://purl.umn.edu/95803
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Commodity Price Volatility: The Impact of Commodity Index Traders AgEcon
Hailu, Getu; Weersink, Alfons.
Tipo: Working or Discussion Paper Palavras-chave: Index; Traders; Commodity; Price; Volatility; Agricultural and Food Policy; Demand and Price Analysis; Marketing.
Ano: 2011 URL: http://purl.umn.edu/102305
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Components of Grain Futures Price Volatility AgEcon
Karali, Berna; Thurman, Walter N..
We analyze the determinants of daily futures price volatility in corn, soybeans, wheat, and oats markets from 1986 to 2007. Combining the information from simultaneously traded contracts, a generalized least squares method is implemented that allows us to clearly distinguish among time-to-delivery effects, seasonality, calendar trend, and volatility persistence. We find strong evidence of time-to-delivery (Samuelson) effects and systematic seasonal components with volatility increasing prior to harvest times— an indirect confirmation of the theory of storage.
Tipo: Journal Article Palavras-chave: Futures markets; Samuelson effect; Seasonality; Time to maturity; Volatility; Crop Production/Industries; Risk and Uncertainty.
Ano: 2010 URL: http://purl.umn.edu/93205
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CONDUCT AND VOLATILITY IN FOOD-PRICE DETERMINATION: VAR EVIDENCE FROM TURKISH AGRICULTURE AgEcon
Holloway, Garth J.; Bayaner, Ahmet.
The relationship between price volatility and competition is examined. A theoretic, vector autoregressions on farm prices of wheat and retail prices of derivatives (flour, bread, pasta, bulgur and cookies) are compared to results from a dynamic, simultaneous-equations model with theory-based farm-to-retail linkages. Analytical results yield insights about numbers of firms and their impacts on demand- and supply-side multipliers, but the applications to Turkish time series (1988:1-1996:12) yield mixed results.
Tipo: Conference Paper or Presentation Palavras-chave: Conduct; Volatility; Food marketing.; Marketing; Risk and Uncertainty.
Ano: 1998 URL: http://purl.umn.edu/20795
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Direct payments, crop insurance and the volatility of farm income. Some evidence in France and in Italy AgEcon
Enjolras, Geoffroy; Capitanio, Fabian; Aubert, Magali; Adinolfi, Felice.
Volatility of farm income represents a major challenge for farm management and the design of public policies. This paper measures the extent to which risk management tools, especially direct payments and crop insurance, can significantly reduce crop income volatility in France and in Italy. We use an original dataset of 9,555 farms for the period 2003-2007 drawn up from the Farm Accountancy Data Network (FADN) and three different econometric models to explain the volatility of crop income. The results are contrasted between the specialization of the farms and the two countries: Italian farms use management tools (CAP payments and crop insurance) so as to improve their income and to reduce its volatility (crop insurance, inputs). French farms use the same...
Tipo: Presentation Palavras-chave: Volatility; Direct payments; Insurance; France; Italy; FADN; Risk and Uncertainty; G22; Q14; Q18.
Ano: 2012 URL: http://purl.umn.edu/122478
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Do Inventory and Time-to-Delivery Effects Vary Across Futures Contracts? Insights from a Smoothed Bayesian Estimator AgEcon
Karali, Berna; Dorfman, Jeffrey H.; Thurman, Walter N..
Replaced with revised version of paper 07/15/08.
Tipo: Conference Paper or Presentation Palavras-chave: Volatility; Theory of storage; Futures markets; Bayesian econometrics; Lumber; Marketing.
Ano: 2008 URL: http://purl.umn.edu/6084
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Do Trade Agreements Reduce the Volatility of Agricultural Distortions? AgEcon
Cadot, Olivier; Olarreaga, Marcelo; Tschopp, Jeanne.
The objective of this paper is to evaluate the extend to which trade agreements affect agricultural trade policy volatility. Using a new panel database compiled as part of the World Bank's Agricultural Distortions research project, we estimate the effect of regionalism (proxied in various ways) on the volatility of price distortions measured by the absolute value of their first differences, averaged, for each country and year, over all agricultural goods. Using an instrumental-variable approach to correct for the endogeneity of regional trade agreements, (RTAs), we find that participation in RTAs has a significantly negative effect on agricultural trade-policy volatility. We find that the WTO's agricultural agreement also contributed to reducing...
Tipo: Working or Discussion Paper Palavras-chave: Distorted incentives; Agricultural and trade policy reforms; National agricultural development; Agricultural protection; Volatility; Credibility; Agricultural and Food Policy; International Relations/Trade; F13; F14; Q17; Q18; F10.
Ano: 2009 URL: http://purl.umn.edu/50303
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Does Futures Price Volatility Differ Across Delivery Horizon? AgEcon
Karali, Berna; Dorfman, Jeffrey H.; Thurman, Walter N..
We study the difference in the volatility dynamics of CBOT corn, soybeans, and oats futures prices across different delivery horizons via the smoothed Bayesian estimator of Karali, Dorfman, and Thurman (2010). We show that the futures price volatilities in these markets are affected by the inventories, time to delivery, and the crop progress period. Some of these effects vary across delivery horizons. Further, it is shown that the price volatility is higher before the harvest starts in most of the cases compared to the volatility during the planting period. These results have implications for hedging, options pricing, and the setting of margin requirements.
Tipo: Conference Paper or Presentation Palavras-chave: Bayesian econometrics; Futures markets; Seasonality; Theory of storage; Volatility; Agribusiness; Agricultural and Food Policy; Agricultural Finance; Consumer/Household Economics; Demand and Price Analysis; Farm Management; Financial Economics; Marketing; Research Methods/ Statistical Methods; Risk and Uncertainty.
Ano: 2009 URL: http://purl.umn.edu/53036
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Economic Potential of Greenhouse Gas Emission Reductions: Comparative Role for Soil Sequestration in Agriculture and Forestry AgEcon
Schneider, Uwe A.; McCarl, Bruce A.; Murray, Brian C.; Williams, Jimmy R.; Sands, Ronald D..
We use the Agricultural Sector Model to analyze the economic potential of soil carbon sequestration as one of several agricultural greenhouse gas emission mitigation strategies, including afforestation. For low incentives on carbon emission savings, agricultural soil carbon sequestration is the most cost-efficient strategy. As incentive levels increase above $50 per ton of carbon equivalent, afforestation and biofuel production become the key strategies, while the role of soil carbon diminishes. If saturating sinks are discounted based on their net present value, the competitive economic equilibrium among agricultural mitigation strategies shifts away from soil carbon sequestration and afforestation and toward more biofuel production. Regardless of the...
Tipo: Working or Discussion Paper Palavras-chave: Afforestation; Agricultural Sector Model; Carbon sequestration dynamics; Economic potential; Emission leakage; Greenhouse gas emission mitigation; Sink saturation; Technical potential; Volatility; Environmental Economics and Policy.
Ano: 2001 URL: http://purl.umn.edu/18378
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Estimación del Indice de Volatilidad México (VIMEX@) usando modelos GARCH. Colegio de Postgraduados
Ruiz González, Alberto.
Debido a la importancia que tiene el concepto de volatilidad en los mercados financieros, este concepto ha sido tomado como un indicador de riesgo y se han generado indicadores y productos derivados referenciados a la volatilidad en los principales mercados del mundo. La principal utilidad de este índice es dar información sobre los niveles de volatilidad del mercado. El Mercado Mexicano de Derivados (MexDer) no se ha quedado rezagado en este sentido, por lo que se publica el Indice de Volatilidad México (VIMEX@). En este trabajo de tesis, se ajusta un modelo GARCH(1,1) a los rendimientos semanales del VIMEX@ para modelar la varianza y para modelar la media se incluye un proceso AR(2), el cual resulta ser cero en el modelo final. El modelo ajustado produce...
Palavras-chave: GARCH; Indices de volatilidad; MexDer; VIMEX; Volatilidad; Volatility rate; Volatility; Estadística; Maestría.
Ano: 2011 URL: http://hdl.handle.net/10521/650
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