Nesta pesquisa, composta por três ensaios, buscamos resultados que contribuam com informações sobre três temas relevantes na área de finanças: o impacto de normas internacionais na qualidade da informação contábil; quantidades e estrutura de dependência entre commodities alimentares e o petróleo; e o estudo da relação entre o retorno e a volatilidade implícita de um fundo do mercado do petróleo. Em particular, trabalhamos para sugerir novas estratégias, com formas alternativas para a solução de problemas relacionados a esses temas. No primeiro ensaio, adotamos uma estratégia empírica, em duas etapas, para avaliar o impacto das normas internacionais de contabilidade (IFRS) na qualidade da informação contábil. Na primeira, construímos grupos de controle, por meio de um pareamento por escore de propensão, com a intenção de selecionar um contrafactual para avaliar o impacto das IFRS no Brasil. A busca e o uso de contrafactuais para a avaliação de normas contábeis ainda não foi explorado de forma adequada nos estudos específicos para o país. Na segunda etapa, estimamos modelos de painel para medidas de qualidade da informação. Os resultados apontaram para o efeito positivo da adoção de normas sobre a qualidade da informação contábil para as empresas avaliadas. No ensaio número dois, calculamos medidas de dependência entre as principais commodities alimentares e o petróleo, e testamos a existência de neutralidade entre esses mercados. Além disso, investigamos mudanças na estrutura de dependência ao passar de um período de estabilidade para um de crises. Para tanto, adotamos um procedimento que envolveu a estimação de valores para as marginais com modelos ARMA-GARCH, estimação de cópulas não paramétricas, via kernel, e cálculos aproximados de medidas de dependência. Também construímos intervalos de confi-ança para essas medidas de dependência utilizando técnicas de block bootstrap. De posse dos resultados dos intervalos refutarmos, de maneira geral, a hipótese de neutralidade entre esses mercados. Outro ponto a se destacar foi a mudança da estrutura de dependência observada ao passar de um período de estabilidade para um período de crises. Finalmente, no terceiro ensaio, realizamos a avaliação da relação entre o retorno e a volatilidade de um fundo representativo do mercado de petróleo e seu respectivo índice de volatilidade esperada. Neste ensaio, em particular, nos dedicamos na análise da não linearidade e assimetria entre os diferentes quantis de volatilidade. Com base nos resultados de regressões quantílicas e na análise não paramétrica do método B-splines, encontramos resultados que apontam para respostas de retornos negativos mais intensos do que positivos, em especial nos extremos da distribuição. E ainda, que existe uma relação no formato de "S" inclinado entre as variáveis, em forma de “U” para retornos ne-gativos e “U” invertido para retornos positivos, nos quantis (0.05, 0.90 e 0.95) de volatilidade. / In this research, composed of three essays, we seek results that contribute to information on three relevant topics in the finance: the impact of international standards on the accounting information quality; Quantities and structure of dependence between grain commodities and oil; and the study of the relationship between return-volatility of an oil investment fund. In particular, we work to suggest new strategies, with alternative ways to solve problems related to these themes. In the first essay, we adopted a two-stage empirical strategy to assess the impact of international accounting standards (IFRS) on the accounting information quality. In the first stage, we constructed control groups, through a pairing by propensity score macthing, with the intention of selecting a counterfactual to evaluate the impact of IFRS in Brazil. The search and use of counterfactuals for the evaluation of accounting standards has not yet been adequately explored in the specific s tudies f or B razil. In the second s tep, we e stimate panel models for the main measures of information quality. The results pointed to the positive effect of adopting standards on the quality of accounting information for the companies evaluated. In essay number two, we calculated measures of dependence between the main grain commodities and oil, and we tested the existence of neutrality between these markets. In addition, we investigate changes in the dependency structure when moving from a period of stability to one of crisis. For that, we adopted a procedure that involved the estimation of values for the marginal ones with ARMA-GARCH models, estimation of non-parametric copulas, via kernel, and approximate calculations of dependence measures. We also constructed confidence intervals for these dependency measures using blockbootstrap techniques. With the results of the intervals, we refute the hypothesis of neutrality between these markets, in general. Another point to highlight was the change in the structure of dependence observed when changing from one period of stability to another of crises. Finally, in the third essay, we evaluated the relationship between the return and the volatility of a fund representative of the oil market and its expected volatility index. In this essay, in particular, we focus on the analysis of nonlinearity and asymmetry between the different quantile of volatility. Based on the results of quantile regressions and the non-parametric analysis of the B-splines method, we find results that point to responses of negative returns that are more intense than positive, especially at the extremes of the distribution. Also, there is an "S"-shaped relationship between the variables, in the form of "U"-shaped for negative returns and "U"-shaped inverted for positive returns, for the quantis (0.05, 0.90 and 0.95) of volatility.

Os biocombustíveis são produzidos de acordo a conjunturas do mercado de petróleo e das commodities agrícolas, e são inseridos na esfera produtiva dos derivados de petróleo através de incentivos governamentais. O objetivo do trabalho foi analisar a relação entre os setores de biocombustíveis, alimentos e petróleo recorrendo ao referencial teórico sobre renda dos recursos naturais e ao método histórico. Na primeira etapa foram identificados vasos comunicantes entre os preços do petróleo e de algumas commodities agrícolas, observando que o excedente criado com o petróleo influencia os preços das commodities agrícolas e, a partir do processo de financeirização desta esfera, os comercializadores oligopsônicos de alimentos podem extrair um excedente dos proprietários da terra. Na segunda etapa foram analisados os programas brasileiros. Foi observado que no caso do biodiesel a criação de rendas diferenciais a partir da produção de matérias primas da agricultura familiar fica restringida. A obtenção deste tipo de rendas depende do preço de mercado dos óleos vegetais provenientes da agricultura capitalista e de acordo aos incentivos formulados para o PNPB ainda não se configura um mercado de referência que permita escolher o mercado de energia sendo preferível auferir a renda da terra no mercado de óleos vegetais para alimentação. Análise comparativa revelou com significância estatística que os preços dos óleos vegetais tendem a ser superiores aos dos fósseis equivalentes. Os resultados da pesquisa permitem concluir que as tentativas de viabilizar o biodiesel: a) na década de 1970 careceram de articulações políticas para superar as dificuldades impostas pelas condições de mercado, em comparação com o etanol; b) na retomada dos anos 2000, apesar da intensa articulação institucional e dos incentivos, permanecem as dificuldades decorrentes da limitada escala de produção da matéria prima e da natureza dos mercados de óleos vegetais e o preço regulador definido pelo dos fósseis equivalentes. No caso do álcool, a instrumentalização do Estado por parte das elites, permitiu a criação de incentivos, principalmente a favor dos produtores de açúcar e/ou álcool durante várias décadas, até conseguir a opção de obter rendas absolutas e diferenciais nos dois mercados. As condições de mercado criadas por esta articulação permitiu criar um preço regulador para o etanol baseado, inicialmente, no mercado do açúcar e depois no mercado de derivados do petróleo. A pesquisa demonstra que o álcool combustível no Brasil criou, através dos incentivos governamentais, capacidade de reprodução com alta produtividade / custos baixos e balanço energético favorável. Sua permanência é devida à frota de flex-fuel lançada em 2003. Apesar das articulações institucionais o etanol combustível não se autonomizou e permanece vinculado ao comportamento dos preços reguladores determinados pela esfera dos combustíveis fósseis. / Biofuels are produced according to conjunctures of the agricultural commodities and oil markets and are inserted into the productive sphere of oil products through government incentives. The aim of this study was to analyze the relationship between the biofuel, food and oil sectors using the theoretical framework on rent of natural resources and the historical method. In a first step communicating vessels between oil prices and some agricultural commodities were identified. The surplus created in the oil sector is influences the prices of agricultural commodities and from process of financialisation of this sphere, the traders oligopsony can extract surplus from landowners. In the second step the Brazilian programs were analyzed. Creating differential rent in biodiesel production with raw materials from family farming is quite restricted. Obtaining this type of rent depends on the market price for vegetable oils from capitalist agriculture. Incentives formulated according to PNPB not yet sufficient to prefer the energy market instead of obtaining land rent in alternative markets for the vegetable oils. Statistically significant comparative analysis revealed that vegetable oil prices tend to be higher than the equivalent fossil oils. The results allow to conclude that attempts to make biodiesel production viable: a) in 1970´s lacked political alliances to overcome the difficulties imposed by market conditions , compared with ethanol; b ) in the resumption of the 2000s, despite of intense articulation and institutional incentives, difficulties remain, arising from the limited scale of production of the raw material as well as from the nature of markets of vegetable oils and their regulating price defined by equivalent fossil oil . In the case of ethanol, the instrumentalization of the State by elites, enabled the creation of incentives, especially for producers of sugar and/or ethanol, during several decades, until building up the option to obtain absolute and differential rents in both markets. Market conditions created by this articulation allowed enabled the establishment of regulating price for ethanol based initially on the sugar market and eventually on the oil market. This research shows that ethanol fuel in Brazil created, through the governmental incentives, reproduction capacity with high productivity / low costs and favorable energy balance. Their permanence is due to the flex-fuel automobiles launched in 2003. Despite the institutional linkages ethanol fuel did not become autonomous and its remains linked to the behavior of prices determined by the regulatory sphere of fossil fuels.

La hausse de la volatilité des cours des matières premières agricoles de ces dernières années couplée à une réorganisation des filières débutées dans les années 1990, posent la question de l'approvisionnement des pays du Maghreb en blés et produits dérivés du blé. Ce travail se propose, dans ce contexte, de comprendre les modalités d'importations des blés et leur influence sur le choix du partenaire commercial. Nous nous appuyons, pour cela, sur un cadre théorique où les acteurs perçoivent les biens qu'ils importent, transforment ou commercialisent comme une collection de caractéristiques répondant à cinq logiques (le prix, la qualité, les services associés, les relations avec le fournisseur et le risque de non disponibilité) et sélectionnent leur variété préférée en fonction de ces caractéristiques. L'organisation des filières détermine l'acteur qui pourra imposer ses préférences au niveau des marchés internationaux. Une enquête au niveau des filières montre une préférence de l'ensemble des acteurs pour les caractéristiques ayant traits à la qualité et au prix sur les trois autres logiques, avec une plus grande sensibilité des acteurs privés pour la qualité, les acteurs publics étant plus focalisés sur les seuls prix. Enfin, une analyse des importations à l'aide d'équations de gravités confirme, d'une part la, prédominance des variables associées à la qualité et aux prix sur les autres variables pour expliquer le choix du partenaire commercial. D'autre part, le modèle de gravité montre que plus la part des importations effectuée par les entreprises privées est importante, plus les variables associées à la qualité sont influentes dans le choix du fournisseur. / Last years' rise of commodity price volatility and commodity chain reorganization which began in the 1990's questioned the issue of supply in wheat and wheat products for Maghreb countries. This work will try to understand the different wheat and wheat product import mode and their influence on trade partner choice. We settle our analyze on a theoretical framework in which actors perceive the goods they import, process or sell as a collection of characteristics corresponding to five logics (price, quality, related services, relations with the supplier and the risk of unavailability) and select their favorite variety in terms of these characteristics. Filière organization selects which actors are able to impose their preferences in international markets. A survey among actors shows a preference for the characteristics relating to quality and price on the three other logics, with a greater sensitivity of private actors for quality, public players are more focused solely on price. Finally, an analysis of imports using gravity equations confirms, on the one hand, predominance of variables associated with quality and prices on other variables to explain the choice of trading partner. On the other hand, it shows that the larger the share of imports carried by private companies on a filière, the more the variables associated with quality are influential in the choice of supplier.

Die Ausgabe der Schriftenreihe veröffentlicht Ergebnisse von Anbauversuchen mit Mais- und Sorghumhirsesorten. In einem bundesländerübergreifenden Projekt wurden unter repräsentativen Standortbedingungen die Ertragsleistungen verschiedener Sorten untersucht. Die ertragsreichen Sorghumhirsesorten Goliath, Sucrosorgo 506 und Lussi erreichten auf Lössboden etwa 85 Prozent des Maisertrages, der mit 180 dt TM/ha die höchsten Erträge erzielte. Auf diluvialen Böden und auf Kippenböden waren die Sorghumsorten teilweise bis zu 10 Prozent im Ertrag überlegen. Die Optimierung von Saatstärke und Reihenweite erbrachte standortbezogene Ertragssteigerungen bis 10 Prozent.

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Submitted by Karen Britto (karenbritto@unipampa.edu.br) on 2018-05-23T14:53:52Z No. of bitstreams: 1 Claudia Guerra Disconzi - 2018.pdf: 2618311 bytes, checksum: 992a7f6adbd1b190b55d289e1b7c08b2 (MD5) / Made available in DSpace on 2018-05-23T14:53:52Z (GMT). No. of bitstreams: 1 Claudia Guerra Disconzi - 2018.pdf: 2618311 bytes, checksum: 992a7f6adbd1b190b55d289e1b7c08b2 (MD5) Previous issue date: 2018-03-19 / O mercado das commodities agrícolas é caracterizado por ser dinâmico e complexo. Os preços no mercado futuro das commodities são negociados em bolsas de valores e variam rapidamente de acordo com diversos fatores, como mudanças cambiais, variações climáticas, políticas governamentais, estoques mundiais, entre outros. Tendo em vista a instabilidade do mercado das commodities, este trabalho tem por objetivo analisar a contribuição das redes neurais artificiais para a previsão de preços de commodities agrícolas no mercado futuro, avaliando o ajuste das redes como ferramenta estratégica no processo de tomada de decisão. Trata-se de uma pesquisa empírica, de caráter descritivo, com abordagem quantitativa. O método utilizado foi o de levantamento, por meio de dados secundários obtidos na base de dados do Cepea. Como resultados, desenvolveram-se redes com desempenho classificados como “ótimos” para todas as commmodities consideradas, o que demonstrou a alta previsibilidade das redes neurais artificiais. Através da construção de cenários de preços mensais para as commodities, verificou-se que as redes selecionadas são sensíveis às variações de alta e queda nos preços. Assim, as RNAs demonstraram ser uma ferramenta importante que pode auxiliar com sucesso os interessados em investir neste mercado, através da simulação do comportamento dos preços. / The commodities market is characterized by being dynamic and complex. Futures market prices are traded on stock exchanges and short-term variables such as exchange rate changes, future payments, government reports, world stocks, among others. Considering the instability of the commodities market, this work aims to analyze the construction of artificial neural networks for forecasting agricultural commodity prices in the future market, with the objective of evaluating the networks as a strategic measure in the process of making decision. It is an empirical research, of descriptive character, with quantitative approach. The method used was the survey, using data base results in the database of Cepea. As networks were developed with indicators as "optimal" for all commodities, which demonstrated a high predictability of artificial neural networks. Through the construction of monthly commodity scenarios, it was verified that the selected networks are sensitive to the variations of rise and fall in prices. Thus, the RNAs have proved to be an important tool that can successfully aid the search in this market, through the simulation of the behavior of prices.

Thesis (M.Sc. ( Agricultural Economics )) --University of Limpopo, 2005 / The deregulation of agricultural markets in South Africa led to the establishment of a futures market for agricultural products, which was opened in January 1995. The marketing of Agricultural products act No. 47 of 1996 was passed at the end of 1996. The new Marketing of Agricultural Products Act (Act No. 47 of 1996) in South Africa has created an environment in which farmers, traders and processors are able to react positively to transparent prices that are market related. Agricultural futures markets serve several important functions, such as price risk management, price discovery and forward pricing. Economists around the world have studied vertical and spatial price relationships, and the behaviour of price changes in futures markets using asymmetry tests. Price asymmetry results in futures markets have a number of important implications. Firstly, traditional models in time series may be slightly biased when forecasting future prices, because they assume price symmetry. Secondly, asymmetry results may imply that the weak-form efficient markets hypothesis appears to be contradicted, thus indicating that past prices do affect current prices and do contain information. Lastly, if persistent asymmetry is found in futures markets, market regulators and policy makers may wish to use asymmetric information to improve the functioning and stability of futures markets through improved price limit and margin policies. Implementing policies iv accounting for asymmetric behaviour may help avoid market crashes and sudden unexpected price adjustments adversely affecting market participants. This study tests the existence of price asymmetry in South African futures markets for white and yellow maize, wheat and sunflower seeds using a dynamic price asymmetry model. The sum of coefficients test and the speed of adjustment test are used to determine whether or not prices move up in the same fashion as they move down, over daily and weekly data frequencies. Out of the four commodity futures markets studied over varying data frequencies, only daily wheat is price asymmetric. Wheat daily prices respond faster to price decreases than to price increases. The implication of the results is that past prices do affect current prices and contain information. Hence, the weak-form efficient market hypothesis appears to be contradicted for wheat futures market. Another important implication of the results is that implementing policies accounting for asymmetric behavior through price limit and margin policies will improve the functioning and stability of wheat futures market in South Africa. / National Research Foundation, and the University of Limpopo

Thesis (Ph.D. (Risk Management))--North-West University, Potchefstroom Campus, 2008.

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Although a pair trading is well known among South African agricultural commodity traders, there are no comprehensive documented accounts for the selection and trading of agricultural commodity pairs in South Africa. The majority of agricultural commodity pairs traders take positions based on their personal view of price movements, without testing for a statistical relationship between the paired commodities that will guarantee that their prices will move back to a common mean. To remedy this lack of method regarding the pairs selection and pairs trading processes, a comprehensive pairs selection process was developed and is documented in this thesis. During the pairs selection process, several agricultural commodities were put through a rigorous evaluation process to test for any long-run statistical relationships between them. This was done to ensure that only pairs with stable long-run statistical relationships were included in the final pair’s portfolio that was compiled. In order to test the profitability of this pair’s portfolio, several fundamental and technical indicators were used to determine entry and exit points. Although some of these indicators did not render satisfactory results, the RSI and Bollinger bands succeeded in realising an acceptable profit. / Thesis (Ph.D. (Risk Management))--North-West University, Potchefstroom Campus, 2008.