Modelo de fatores para Commodities e cenários de preços no curto prazo: O caso da soja

Abstract

This paper analyzes the short-term scenarios for soybeans spot prices. We include a seasonal component while modeling the non-observable variables through stochastic processes. The model was estimated using the Kalman filter over observable prices of future contracts term structure. The results show a more favorable scenario for producers and exporters. However, consumers and importers are indicated to hedge their positions. The analysis is extensible to other commodities dependent on seasonality. Likewise, the model can be used to price deri- vatives, where the future price is the underline asset.