EFEITO DAS OPERAÇÕES DE HEDGE E ESPECULAÇÃO SOBRE A VOLATILIDADE DOS PREÇOS DE COMMODITIES AGRÍCOLAS NOS EUA*

Abstract

This article aims to investigate the impact of hedgers and speculators on the grain price returns volatility in the United States between 2000 and 2015 by incorporating the variations from future contracts in GARCH family models. To verify how the impact of these investors over time, the models were recursively estimated. Furthermore, a BEKK-GARCH model was used to analyze inter-market effects. The results showed that hedgers and speculators have a moderate impact on the volatility of agricultural markets, with the most prominent impact being after the 2008 crisis and when the correlation among the commodities decreased.