Derivativos sobre commodities influenciam a volatilidade dos preços à vista? uma análise nos mercados de boi gordo e café arábica no Brasil

The bullish movement in commodity prices during the 2000s can be explained based on structural and conjectural factors. In addition, it was argued that this price movement was amplified by the contagion from the derivative markets. In this context, these contracts were one of the aspects responsible for an increase in cash price volatility. Thus, this paper evaluated the influence of trading activity (volume and open interest) and futures price volatility in spot price volatility for arabica coffee and live cattle in Brazilian markets. Granger causality tests, forecast error variance decomposition, considering vector autoregression models, and tests of causality in variance, based on the cross-correlation function and on the idea of Lagrange multiplier were conducted. The results showed that, during the period considered, in most cases, an unexpected movement in trading volume and variability of futures prices changed the pattern of spot price volatility.Além de fatores conjunturais da economia mundial e estruturais relativos à oferta e demanda global por commodities, aponta-se que o movimento altista dos preços destes produtos na década de 2000 pode também ser explicado pelo maior contágio dos derivativo523417436sem informaçãosem informaçãoAdrangi, B., Chatrath, A., Futures commitments and exchange rate volatility (1998) Journal of Business Finance and Accounting, 25 (3), pp. 501-520Ahmad, H., Shah, S.Z.A., Shah, I.A., Impact of Futures Trading on Spot Price Volatility: Evidence from Pakistan (2010) International Research Journal of Finance and Economics, 59, pp. 145-165Alexakis, P., On the effect of index futures trading on stock market volatility (2007) International Research Journal of Finance and Economics, 11, pp. 7-20Antoniou, A., Foster, A.J., The effect of futures trading on spot price volatility: Evidence for Brent crude oil using GARCH (1992) Journal of Business Finance and Accounting, 19 (4), pp. 473-484Antoniou, A., Holmes, P., Futures trading, information and spot price volatility: Evidence for the FTSE-100 Stock Index Futures contract using GARCH (1995) Journal of Banking & Finance, 19 (1), pp. 117-129Antoniou, A., Holmes, P., Priestley, R., The effects on stock index futures trading on stock index volatility: An analysis of the asymmetric response of volatility to news (1998) The Journal of Futures Market, 18 (2), pp. 151-166Bae, S.C., Kwon, T.H., Park, J.W., Derivatives trading, volatility spillover, and regulation: Evidence from the Korean securities markets (2009) The Journal of Futures Markets, 29 (6), pp. 563-597Bandivadekar, S., Ghosh, S., Derivatives and volatility on Indian stock markets (2003) Reserve Bank of India Occasional Papers, 24 (3), pp. 1-15Bessembinder, H., Seguin, P., Futures trading activity and stock price volatility (1992) Journal of Finance, 47 (5), pp. 2015-2034Bessembinder, H., Chan, H., Seguin, P., An empirical examination of information, differences of opinion, and trading activity (1996) Journal of Financial Economics, 40 (1), pp. 105-134Board, J., Sandmann, G., Sutcliffe, C., The effect of futures market volume on spot market volatility (2001) Journal of Business Finance & Accounting, 28 (7-8), pp. 799-819Bollerslev, T., Generalized autoregressive conditional heteroscedasticity (1986) Journal of Econometrics, 31 (3), pp. 307-327Bologna, P., Cavallo, L., Does the introduction of stock index futures effectively reduce stock market volatility? 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Evidence for U,S, live beef cattle (1990) The Journal of Futures Markets, 10 (1), pp. 41-60Working, H., Price effects of futures trading (1960) Food Research Institute Studies, 1 (1), pp. 3-31Wray, L.R., O novo capitalismo dos gerentes de dinheiro e a crise financeira global (2009) Oikos, 8 (1), pp. 19-39Yang, J., Balyeat, R.B., Leatham, D.J., Futures trading activity and commodity cash price volatility (2005) Journal of Business Finance & Accounting, 32 (1-2), pp. 297-323Zhong, M., Darrat, A.F., Otero, R., Price discovery and volatility spillovers in index futures markets: Some evidence from Mexico (2004) Journal of Banking & Finance, 28 (12), pp. 3037-3054The bullish movement in commodity prices during the 2000s can be explained based on structural and conjectural factors. In addition, it was argued that this price movement was amplified by the contagion from the derivative markets. In this context, thes

Derivativos sobre commodities influenciam a volatilidade dos preços à vista? Uma análise nos mercados de boi gordo e café arábica no Brasil

sem informaçãoAlém de fatores conjunturais da economia mundial e estruturais relativos à oferta e demanda global por commodities, aponta-se que o movimento altista dos preços destes produtos na década de 2000 pode também ser explicado pelo maior contágio dos derivativo523417436sem informaçãosem informaçãosem informaçã

Ground beetles (Insecta: Coleoptera) at a restinga forest fragment in far-southern Brazil

Coleoptera is one of the most varied taxonomic groups, it has about 390,000 described species. Due to the wide variety and concentration of experts in a few groups, it becomes hard to carry out the inventory of Coleoptera fauna. This paper aims to contribute to knowledge on the diversity of beetles in restinga forests located in far-southern Brazil. The goal of this study was surveying the species of ground beetles sampled with pitfall traps, within the period from January 2011 to January 2012, as well as evaluating the group’s abundance, seasonality, and richness. A total of 6,954 ground beetles distributed into 25 families and 89 morphospecies were sampled. Out of these individuals, 63.79% belong to the Nitidulidae family; 14.83% to the Ptiliidae; and 6.82% to the Staphylinidae. Nineteen families had less than 1% of sampled individuals. Regarding the number of morphospecies per family, 29.21% belong to the Curculionidae; 14.61% to the Carabidae; 10.11% to the Chrysomelidae; 6.74% to the Nitidulidae; and 6.74% to the Scarabaeidae. In this research, two seasonal situations were observed, where the spring had the same number of species than summer and a larger number of sampled individuals

Levantamento de besouros copro-necrófagos (Coleoptera: Scarabaeidae: Scarabaeinae) do Bioma Pampa

Scarabaeinae (Coleoptera: Scarabaeidae), comprises the beetles popularly called “dung beetle”, which are important group of animal detritivorous and biomarkers of environmental impacts on ecosystems. Pampa Biome areas are natural ecosystems with high diversity of plant and animal species, but are however, little known compared to other biomes of Brazil. Data on escarabeinofauna the Pampa Biome is scarce. Therefore, the aim of this study was to inventorize the fauna of these beetles in areas located in the far south of the Rio Grande do Sul, as well as learning their habits and eating behaviors. The sampling areas were located in the cities of Herval and Arroio Grande. 216 traps baited pitfall trap type with human dung and pig and beef decaying were placed distributed in six areas. They recorded 2,243 individuals, organized into six tribes, 13 genera and 35 species. The species were classified as coprophagous, general and scavenger. Greater number of subjects were caught in traps baited with human and pig manure than in rotting meat. For the first time Trichillum morelli Verdú & Galante, 1997 was found in Brazil and Canthidium taurinum Harold, 1867 is a new record for the state.Scarabaeinae (Coleoptera: Scarabaeidae), compreende compreende os besouros popularmente chamados de “rola-bosta”, que constituem importante grupo de animais detritívoros e bioindicadores de impactos ambientais nos ecossistemas. Áreas do Bioma Pampa são ecossistemas naturais com alta diversidade de espécies vegetais e animais, no entanto, pouco conhecidas em comparação com outros biomas do Brasil. Dados sobre a escarabeinofauna do Bioma Pampa é escassa. Portanto, os objetivos deste trabalho foram inventariar a fauna destes besouros em áreas localizadas no extremo-sul do Rio Grande do Sul, bem como, conhecer seus hábitos e comportamentos alimentares. As áreas de amostragem se localizaram nos municípios de Herval e Arroio Grande. Foram dispostas 216 armadilhas do tipo pitfall trap iscadas com esterco humano/suíno e carne bovina em decomposição, distribuídas em seis áreas. Registraram-se 2.243 indivíduos, organizados em 6 tribos, 13 gêneros e 35 espécies. As espécies foram classificadas em coprófagas, generalistas e necrófagas. Foi capturado um maior número de indivíduos em armadilhas iscadas com esterco suíno e humano do que em carne apodrecida. Pela primeira vez Trichillum morelli Verdú & Galante, 1997 foi encontrada no Brasil e Canthidium taurinum Harold, 1867 é um novo registro para o estado

Impacto dos contratos futuros do Ibovespa na volatilidade dos índices de ações no Brasil: uma análise na crise do subprime

CAPES - COORDENAÇÃO DE APERFEIÇOAMENTO DE PESSOAL E NÍVEL SUPERIORCNPQ - CONSELHO NACIONAL DE DESENVOLVIMENTO CIENTÍFICO E TECNOLÓGICOFAPESP - FUNDAÇÃO DE AMPARO À PESQUISA DO ESTADO DE SÃO PAULOSignificant increasing in derivatives trading over the world markets has led to an interesting debate about futures contracts influences on spot prices. In this context, this paper aims to evaluate, during the subprime crisis, the influence of IBOVESPA futures price volatility on the spot price indices as follows: IBOVESPA, FGV-100, IBrX-50, IGC, SMLL and MLCX. We considered the period from August 2007 to April 2009, when the evidence of the crisis were intense until to be recovering of growth of stock market index. To assess causality-in-variance, tests proposed by Cheung and Ng (1996) and Hafner and Herwartz (2006) were employed, and the volatility was estimated by an univariate GARCH process. It was found that the volatility of IBOVESPA futures contract did not destabilize spot indices during the subprime crisis.O aumento das negociações de derivativos no mercado mundial tem levado a um amplo debate acerca da influência dos contratos futuros sobre os preços à vista em diferentes mercados. Neste contexto, o presente artigo teve por objetivo avaliar, no período da crise do subprime, a influência da volatilidade dos preços futuros do IBOVESPA sobre os seguintes índices à vista: IBOVESPA, FGV-100, IBrX-50, IGC, SMLL e MLCX. Considerou-se o período entre agosto de 2007 e abril de 2009, quando as evidências da crise foram mais intensas até a retomada de crescimento dos índices acionários. Para se avaliar a causalidade na variância, foram empregados testes propostos por Cheung e Ng (1996) e Hafner e Herwartz (2006), sendo a volatilidade estimada por um processo GARCH univariado. Os resultados levaram à rejeição da hipótese de que, durante a crise do subprime, os movimentos do mercado futuro desestabilizaram o mercado à vista de ações brasileiro.O aumento das negociações de derivativos no mercado mundial tem levado a um amplo debate acerca da influência dos contratos futuros sobre os preços à vista em diferentes mercados. Neste contexto, o presente artigo teve por objetivo avaliar, no período da crise do subprime, a influência da volatilidade dos preços futuros do IBOVESPA sobre os seguintes índices à vista: IBOVESPA, FGV-100, IBrX-50, IGC, SMLL e MLCX. Considerou-se o período entre agosto de 2007 e abril de 2009, quando as evidências da crise foram mais intensas até a retomada de crescimento dos índices acionários. Para se avaliar a causalidade na variância, foram empregados testes propostos por Cheung e Ng (1996) e Hafner e Herwartz (2006), sendo a volatilidade estimada por um processo GARCH univariado. Os resultados levaram à rejeição da hipótese de que, durante a crise do subprime, os movimentos do mercado futuro desestabilizaram o mercado à vista de ações brasileiro424801825CAPES - COORDENAÇÃO DE APERFEIÇOAMENTO DE PESSOAL E NÍVEL SUPERIORCNPQ - CONSELHO NACIONAL DE DESENVOLVIMENTO CIENTÍFICO E TECNOLÓGICOFAPESP - FUNDAÇÃO DE AMPARO À PESQUISA DO ESTADO DE SÃO PAULOCAPES - COORDENAÇÃO DE APERFEIÇOAMENTO DE PESSOAL E NÍVEL SUPERIORCNPQ - CONSELHO NACIONAL DE DESENVOLVIMENTO CIENTÍFICO E TECNOLÓGICOFAPESP - FUNDAÇÃO DE AMPARO À PESQUISA DO ESTADO DE SÃO PAULOSignificant increasing in derivatives trading over the world markets has led to an interesting debate about futures contracts influences on spot prices. In this context, this paper aims to evaluate, during the subprime crisis, the influence of IBOVESPA futures price volatility on the spot price indices as follows: IBOVESPA, FGV-100, IBrX-50, IGC, SMLL and MLCX. We considered the period from August 2007 to April 2009, when the evidence of the crisis were intense until to be recovering of growth of stock market index. To assess causality-in-variance, tests proposed by Cheung and Ng (1996) and Hafner and Herwartz (2006) were employed, and the volatility was estimated by an univariate GARCH process. It was found that the volatility of IBOVESPA futures contract did not destabilize spot indices during the subprime crisi

Apreçamento de opções sobre taxa de câmbio R/US/US negociadas no Brasil: uma comparação entre os modelos Black e redes neurais artificiais

In this study, a multilayer neural network model was applied to the pricing of R/USD exchange rate call options traded on the São Paulo Securities, Commodities and Futures Exchange (BM&FBovespa) from January 2004 to December 2007. Based on the actual market prices, the performances of a neural network model and the Black model were compared, using the usual error metrics and statistical tests. Overall, the results showed that the artificial intelligence model outperformed the Black model for the different degrees of moneyness.En este estudio se aplicó un modelo de red neuronal multicapa para la valoración de opciones de compra sobre el tipo de cambio R/US, cotizadas en la Bolsa de Valores, Mercadorias e Futuros (BM&FBovespa), para el período comprendido entre enero de 2004 y diciembre de 2007. A partir de los precios efectivamente practicados en el mercado, se comparó el desempeño entre las redes neuronales y el modelo de Black, con el uso de métricas habituales de error y pruebas estadísticas. Los resultados mostraron, en general, la mejor adecuación del modelo de inteligencia artificial, en comparación con el modelo de Black, en diferentes grados de monetización.No estudo aqui apresentado, aplicou-se um modelo de rede neural multicamadas para o apreçamento de calls sobre taxa de câmbio R/US$, negociadas na Bolsa de Valores, Mercadorias & Futuros de São Paulo (BM&FBovespa), para o período de janeiro de 2004 a dezembro de 2007. A partir dos preços efetivamente praticados no mercado, comparou-se o desempenho entre essa técnica e o modelo de Black, utilizando-se métricas usuais de erro e testes estatísticos. Os resultados obtidos revelaram, em geral, a melhor adequação do modelo de inteligência artificial, em comparação ao modelo de Black, nos diferentes graus de moneyness

Impacto dos contratos futuros do Ibovespa na volatilidade dos índices de ações no Brasil: uma análise na crise do subprime

O aumento das negociações de derivativos no mercado mundial tem levado a um amplo debate acerca da influência dos contratos futuros sobre os preços à vista em diferentes mercados. Neste contexto, o presente artigo teve por objetivo avaliar, no período da crise do subprime, a influência da volatilidade dos preços futuros do IBOVESPA sobre os seguintes índices à vista: IBOVESPA, FGV-100, IBrX-50, IGC, SMLL e MLCX. Considerou-se o período entre agosto de 2007 e abril de 2009, quando as evidências da crise foram mais intensas até a retomada de crescimento dos índices acionários. Para se avaliar a causalidade na variância, foram empregados testes propostos por Cheung e Ng (1996 e Hafner e Herwartz (2006), sendo a volatilidade estimada por um processo GARCH univariado. Os resultados levaram à rejeição da hipótese de que, durante a crise do subprime, os movimentos do mercado futuro desestabilizaram o mercado à vista de ações brasileiro.Significant increasing in derivatives trading over the world markets has led to an interesting debate about futures contracts influences on spot prices. In this context, this paper aims to evaluate, during the subprime crisis, the influence of IBOVESPA futures price volatility on the spot price indices as follows: IBOVESPA, FGV-100, IBrX-50, IGC, SMLL and MLCX. We considered the period from August 2007 to April 2009, when the evidence of the crisis were intense until to be recovering of growth of stock market index. To assess causality-in-variance, tests proposed by Cheung and Ng (1996) and Hafner and Herwartz (2006) were employed, and the volatility was estimated by an univariate GARCH process. It was found that the volatility of IBOVESPA futures contract did not destabilize spot indices during the subprime crisis

CHARMM force field parameterization of rosiglitazone

We develop a CHARMM-based interaction potential for rosiglitazone, a well-known selective ligand to the γ isoform of the peroxisome proliferator-activated receptor (PPARγ) and widely marketed antidiabetic drug of the thiazolidinedione (TZD) class. We derive partial atomic charges and dihedral torsion potentials for seven rotations in the molecule, for which there are no analogs available in CHARMM. The potential model is validated by performing a series of molecular dynamics simulations of rosiglitazone in neat water and of a fully solvated rosiglitazone-PPARγ complex. The structural and dynamical behavior of the complex is analyzed in comparison with available experimental data. The potential parameters derived here are readily transferable to a variety of pharmaceutically important TZD compounds.FAPESPCNP

Treatment-Resistant Hypertension: An Update in Device Therapy

Resistant hypertension (RH) is a clinical condition in which the hypertensive patient has become resistant to drug therapy and is often associated with increased cardiovascular morbidity and mortality. Several signaling pathways have been studied and related to the development and progression of RH: modulation of sympathetic activity by leptin and aldosterone, primary aldosteronism, arterial stiffness, endothelial dysfunction, and variations in the renin-angiotensin-aldosterone system (RAAS)