Determinantes do risco de base para contratos futuros de milho

Abstract

The research analyzes the main determinants of the basis risk for corn futures contracts launched by Mato Grosso producers in Bolsa de Mercadorias de São Paulo and Chicago Stock Exchange (CBOT). The research identifies the possible channels and the level of impact of each determinant on the difference between the physical price and future price, research never done before for Brazilian corn futures market. In purpose to found consistency with the real determinants, this research is innovative by emploing the use of a climatic variable on explain the basis behavior. The analysis found long-run correlations between variables, so we opted to use a VECM model with corrections for trend and seasonality. We conclude that the difference of the base of futures contracts traded on the BM&F BOVESPA is main explained by locational factors, including climate and pork supply chains, with minor nuances between the municipality studied. As for contracts traded on CBOT, informational factors like market indices IBOVESPA and CBOT are the most significant. Thus, the study allows us to understand the dynamics of the baseline risk of futures contracts launched by Brazilian producers, the main determinants and possible transmission channels.