Arbitragem, convenience yield e asset allocation no mercado futuro de milho da B3uma análise markov-switching integrada

Resumo

The B3 corn futures market, organized around the CCM contract, has become central to Brazilian agribusiness following the consolidation of the second crop (“safrinha”) as the dominant source of national output. This centrality lends economic relevance to three complementary perspectives: informational efficiency and price formation (price discovery between spot and futures, the term structure, and arbitrage via cost-of-carry); hedging effectiveness in risk management; and the contribution of corn to institutional asset allocation as a diversifying asset. The thesis integrates the three perspectives through the MarkovSwitching framework, which endogenously identifies hidden regimes in each dimension and, via a 5×5 inter-block Cohen's kappa matrix, tests whether these regimes coincide over time. The perspectives are operationalized, respectively, through MS-VECM, MS-Schwartz with a Kalman filter and Markov-Switching models on the cost-of-carry spread; through MS-DCCGARCH with time-varying transition probabilities; and through mean–variance optimization with regime-dependent volatilities. The empirical base combines CEPEA/ESALQ-Campinas spot prices, B3 CCM futures and the IFMILHO index, plus brazilian equity and fixed-income benchmarks (IBOV, IMA-B, IRF-M) and CONAB storage costs. The main findings are: (i) cointegration between spot and futures (β ≈ 0.985), with the futures market leading 81.8% of price discovery and the spot adjusting to disequilibrium 4.48 times faster, and only partial return predictability from the basis; (ii) regime-dependent optimal hedge ratios that, while not outperforming rolling-window OLS in out-of-sample variance reduction, deliver the smallest maximum drawdown among strategies (−29.4% versus −34.5% for OLS); and (iii) negative correlation between IFMILHO and the benchmarks, with robust diversification on the efficient frontier and, out of sample, for the GMV portfolio, with the caveat that the unconstrained tangency portfolio's gain does not hold out of sample. The inter-block coincidence test reveals moderate agreement along the structural axis (κ = 0.59 between MS-VECM and MS-Schwartz; p < 0.001) and slight, non-significant agreement along the operational axis (κ = 0.02 between hedging and portfolio; p = 0.28), confirming IFMILHO as an independent proxy analytical dimension. The thesis contributes to the theoretical-conceptual (multidimensionality of efficiency), methodological (a unified Markov-Switching framework with an inter-block kappa test), and empirical-practical (for market agents and policymakers) planes.

Ficha do documento

Tipo

Tese

Ano

2026

Instituição

Fundação Getulio Vargas

Fonte

Repositório da FGV

Idioma

Português

Acesso

Acesso aberto

Identificador

oai:repositorio.fgv.br:10438/40366

Temas

Economia

Palavras-chave

Mercado futuro de milhoB3Eficiência informacionalHedge dinâmicoMarkov-SwitchingAsset allocationConvenience yieldCohen's kappaCorn futures marketInformational efficiencyDynamic hedgingEconomiaMercado futuro de mercadoriasMilhoAlocação de ativosInvestimentos - AdministraçãoHedging (Finanças)