Avaliação da viabilidade de implantação de um contrato futuro de arroz para o Mercosul

Abstract

Rice is one of the basic foods consumed worldwide and plays an important economic role in agricultural production. Latin America, especially Brazil, where rice is a staple food, is one of the largest exporters. The development of futures markets as a way to mitigate the financial risks has been significant in recent years. The possibility of risk transfer in the event of adverse changes in returns, which is a frequent case in agricultural activity, makes producers and major consumers start to see the futures markets as an alternative to the pressure of spot prices and protection against future volatility. Thus, the aim of this study is to evaluate the feasibility of a rice futures contract to serve the Mercosur region. Specifically, the estimation of dynamics and linkages of rice prices in Mercosur will use the Johansen cointegration structure and vector’s error correction model for short and long-term causality. It used the CEPEA rice as a substitute for a hypothetical rice futures contract for Mercosur, and a questionnaire to determine the conditions for implementation of the futures contract in the region. It was pointed out that the prices of Brazil, Argentina and Uruguay are correlated and have long-term causality. It has observed that there is basis risk and more effective hedge for the prices in Brazil and, finally, the agents of Mercosur market said they would not use the futures market to increase the discovery and transparency in the prices which would decrease its margin on the purchase with smaller producers. Thus, this study concludes that in statistical terms the future market of rice for Mercosur is viable. However, when analyzing in general, both the numbers, as the main participants of this alleged market, it is not feasible to implement due to any changes in training agents.