[pt] O Brasil tem mostrado bons resultados em suas atividades agropecuárias que vem sendo justificado por suas condições naturais propícias e ao advento da tecnologia agrícola. O agronegócio no Brasil já representa, aproximadamente, 33 por cento do Produto Interno Bruto do país (MAPA, 2007) e em se tratando da soja, o Brasil é o segundo maior produtor de soja do mundo, com 6,77 por cento das exportações totais do país (CONAB, 2007). Dentro do contexto de agronegócios, a atividade produtora da soja está sujeita a diversos riscos e incertezas como: condições climáticas, ciclo produtivo, produto altamente perecível e pragas, além das condições econômicas de mercado que influenciam diretamente no preço dessa commodity. Na tentativa de minimizar as incertezas e os riscos inerentes dessa atividade produtora é comum encontramos operações de hedge, como os contratos futuros ou a termo, associado às atividades de agronegócio. A lógica desses mecanismos de hedge consiste na proteção contra as possíveis variações no preço dos ativos até uma data definida. O bom funcionamento dessas operações depende de um aparato jurídico e metodológico confiável. Um aparato jurídico que possa garantir a liquidez da mercadoria dentro de padrões previamente definidos em contratos, e uma metodologia adequada que conduza, principalmente, a um preço confiável da commodity no futuro. Deste modo, o objetivo principal deste trabalho é analisar, a partir de uma série histórica, o comportamento dos preços da soja no mercado brasileiro e testar sua aderência ao processo de reversão à média com saltos, bem como testar os efeitos ARCH e GARCH na volatilidade deste processo. / [en] Brazil has shown good results in their agricultural activities, which is justified by its favorable natural conditions and the advent of agricultural technology. The agribusiness in Brazil already represents approximately 33 percent of Gross Domestic Product of the country (MAPA, 2007) and in the case of soybeans, Brazil is the second largest soybean producer in the world, with 6.77 percent of total exports of country (CONAB, 2007). Within the context of agribusiness, the activity of soybean production is subject to various risks and uncertainties such as climatic conditions, production cycle, product highly perishable and pests, and economic conditions of the market, which directly influence the price of that commodity. In an attempt to minimize the uncertainties and risks inherent in producing such activity is common to find hedging transactions such as futures contracts or term associated with the activities of agribusiness. The logic of these mechanisms is the hedge of protection against possible changes in the price of assets by a date set. The functioning of these operations depends on a reliable legal and methodological apparatus. A legal apparatus that can ensure the liquidity of the goods within predefined standards in contracts, and an appropriate methodology that will lead, especially at a price reliable commodity in the future. The purpose of this study is to analyze, from a historical series, the behavior of the prices of soybean in the Brazilian market, and test their adherence to the process of reversion to the mean with jumps as well as test the ARCH and GARCH effects in volatility of this process.

Submitted by Nelson Danilo Sykora (sykora1@gmail.com) on 2013-07-08T21:29:23Z No. of bitstreams: 1 Tese _ Nelson D Sykora.pdf: 1461672 bytes, checksum: 6346c144802522b574a243adb52ade3c (MD5) / Approved for entry into archive by Marcia Bacha (marcia.bacha@fgv.br) on 2013-08-13T19:44:44Z (GMT) No. of bitstreams: 1 Tese _ Nelson D Sykora.pdf: 1461672 bytes, checksum: 6346c144802522b574a243adb52ade3c (MD5) / Made available in DSpace on 2013-08-13T19:45:09Z (GMT). No. of bitstreams: 1 Tese _ Nelson D Sykora.pdf: 1461672 bytes, checksum: 6346c144802522b574a243adb52ade3c (MD5) Previous issue date: 2013-01-28 / The relationship between spot and future market and commodity price Backwardation have had an emphasis on the literature of economics and finance. The aim of this paper is to present the main causes responsible for the behavior of Backwardation and to identify the properties that characterize the equilibrium in agricultural commodit y prices. Be the existence of risk premium or the convenience yield, the unders tanding of the effects on the replication of future price and on the term structure of commodity prices remains an open issue. On the other hand, t he p remise of perfect p ortfolio replication and the absence of market frictions imply that the understanding of c ommodity price Backwardation comes from the understanding of the stochastic process of the underlying asset itself . The risk - neutral pricing allied with signs of reversion in prices supports pricing models such as Schwartz and Smith (2000), whose calibration and results will be presented for soybeans. / A relação entre preços do mercado spot e do mercado futuro e a evidência de Mercado Invertido (backwardation) na estrutura a termo de commodities têm tido ênfase na literatura de economia e de finanças. O objetivo deste trabalho é apresentar as principais causas responsáveis pelo comportamento de Mercado Invertido e identificar as propriedades que caracterizam o equilíbrio de preços em commodities agrícolas. Seja pela existência de prêmio de risco ou do benefício de conveniência, o entendimento dos efeitos sobre a replicação do preço futuro e sobre a estrutura a termo de preços ainda permanece em aberto. A premissa de perfeita replicação de portfólios e a ausência de fricções de mercado implicam, por outro lado, que o entendimento do comportamento de Mercado Invertido advém da compreensão do processo estocástico do próprio ativo subjacente. O apreçamento neutro ao risco, amparado pelos sinais de reversão de preços, permite a modelagem de preços conforme o proposto em Schwartz e Smith (2000), cuja calibração e os resultados serão apresentados para a soja.

Past development efforts in the Kingdom of Tonga are reviewed in relation to the goals of reducing poverty, unemployment and inequality. It is shown that progress has been strictly limited and evidence is provided to support the view that inadequate attention has been paid to agricultural improvement and rural development. The components, practices and institutional framework of the Tongan agricultural system are reviewed and possible future avenues of agricultural development are examined. Attention is drawn to those aspects where improvements are needed if agricultural development is to be promoted. These include an expanded programme of research, an upgrading of the agricultura1 extension effort, an overhaul of the 1and tenure system and a substantial improvement in agricultural product marketing; or, in short, an integrated programme of agricultural improvement and rural development. From a planning viewpoint, there is evidence of inadequate elaboration of development objectives, superficial identification of resources and insufficient knowledge concerning resource interactions, all of which have created confusion and uncertainty, particularly as regards the role of agriculture in the Kingdom's development. As a result, there is a lack of commitment to development efforts generally, and a tendency for activities on the fringes to be pursued at the expense of more fundamental issues. It is concluded that this situation results largely from the lack of an adequate information base, and that before an integrated plan for agricultural improvement can be developed, the network of interrelationships operating within the agricultural system needs to be understood. An information system is developed with the basic aim of providing information which will facilitate an understanding of how the agricultural system is integrated into the everyday lives of the people of Tonga. The concept adopted recognises the reciprocal relationships involved between agriculture and the rest of the economy. Using a systems research framework, the Tongan household agricultural system is defined in terms of its component parts, their interactive behaviour and their interrelationships. The key variables required for analysis are isolated and the production relationships in which rural households participate are specified. The information system provides for the observation of household decision making with particular reference to the allocation of labour, land use and the disposal of farm produce, and the disposition of cash earnings. The information framework is based on the premise that land is the most critical resource in Tongan agriculture. Information requirements are specified which will enable an assessment to be made of the effect of a number of factors on 1and productivity. The data collected will also enable valuable insights to be gained into issues such as land utilisation and methods of production; composition and disposition of agricultural output; household food consumption; marketing of agricultural produce; land tenure; sources of household income; net incomes from agriculture; participation in aid projects; and utilisation of loan finance.

Face à l’instabilité des cours agricoles et à ses conséquences notamment pour les pays en développement, la première partie de cette thèse est consacrée à la présentation des déterminants des cours des matières premières alimentaires, incluant les évolutions récentes en matière d’offre, en tenant compte des conséquences du réchauffement climatique, et de demande, considérant notamment les biocarburants. Il est également question de présenter la financiarisation en cours des économies, et les doutes qui planent sur le rôle que peuvent avoir la spéculation sur les marchés à terme ou encore la mise en œuvre des politiques monétaires, sur les cours au comptant observés sur les marchés physiques des produits agricoles. Suite aux réflexions et éléments de littérature avancés, la seconde partie procède de deux études empiriques. La première est axée sur l’impact de la spéculation sur les marchés financiers à terme sur le cours des sous-jacents (agricoles), alors que la seconde questionne le rôle des marchés monétaires, abordé à travers la capacité du banquier central à stabiliser les taux d’intérêt à court terme. Sur cette base, des conclusions mais également des pistes de recherche sont établies, du fait du prolongement en cours du processus de financiarisation des économies. / Faced with instability of agricultural commodities’ prices and its consequences especially for developing countries, the first part of this thesis is devoted to the presentation of food commodities’ prices, including recent developments with respect to the offering, taking into account the consequences of global warming and demand, as well as the importance of biofuels. It is also question to present the financialization of economies, and the doubts that take over the role of speculation on the futures markets or the implementation of monetary policies, on the spot prices observed on physical agricultural commodities markets. Following the advanced literature reflections and elements, the second part proceeds of two empirical studies, the first one focused on the impact of speculation about the financial futures markets on the underlying asset’s price (agricultural), while the second one examines the role of money markets through the capacities of the central banker to stabilize short-term interest rates. On this basis, conclusions but also future research are established due to the continuation of the economies financialization process.