Analysis of the Relationship between Ethanol Spot and Futures Prices in Brazil

In this work, an investigation and analysis are carried out in order to observe the relationship between ethanol spot and futures prices in Brazil. We adopted the Engle and Granger co-integration approach. Also, we consider the information share method proposed by Hasbrouck in order to examine the market efficiency in price discovery and information transmission. Results show that although the futures market is efficient in price discovery and information transmission, the cash market leads the long-run price discovery process. This suggests that the underlying cause of the dominance of the available market over the futures market can be attributed to the market’s relative concentration in wholesale ethanol distribution due to the formation of marketing pools by the ethanol mills, as well as the small number of distributors that control a significant portion of the market share

Avaliação Ex-post de Ato de Concentração na Indústria de Máquinas Agrícolas com o Uso de Séries Temporais1

This study analyses the structure of the market of agricultural tractors in Brazil and measures the impacts of concentration from the acquisition of Valtra by AGCO, the two larger companies in the local market, on the market power index (Lerner index). In order to do this, a demand function for agricultural tractors including intervention variables (dummies of intercept and slope) was conducted so that its parameters were used in the index. For this purpose, the methodology of Cointegration Analyses with a Vector Error Correction Model (VECM) was used. The results indicate that the concentration was not reflected in significant changes in price elasticities. On the other hand, the Lerner index, which is high in level, increased considerably after the merger due to the market share gains of AGCO