Cash settlement impact on fed cattle futures contract basis risk in Brazil

Revista Brasileira de Economia

Thereza Christina Pippa Rochelle²  Joaquim Bento De Souza Ferreira Filho¹ 

[1] ,USP School of Agriculture, Luiz de Queiroz

关键词: futures contracts;    basis risk;    cash settlement;    cattle;   

DOI  :  10.1590/S0034-71402000000200001

来源: SciELO

【 摘 要 】

This paper examines the impact of cash settlement on the Commodities & Futures Exchange (Bolsa de Mercadorias & Futuros, BM&F) fed cattle futures contract basis risk, in nine regions in Brazil. The analysis was conducted only during the contract maturity months, and the random component of the basis series, which represents the risk, was isolated through successive lags in the original series. Then, the standard deviations of the random component of the basis (that represent basis risk) were regressed on dummy variables for cash settlement and seasonal effects. The regression model was estimated for every location and sex. The results lead to the conclusion that basis risk has been reduced after the introcustion of cash settlement for both male and female animals in all nine regions. Moreover, basis risk is lower for contract maturity months placed in the first half of the year than in for those in the second semester.

【 授权许可】

CC BY   
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