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Determinants of Corn and Soybean Futures Prices Traded on the Brazilian Stock Exchange: An ARDL Approach

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  • Mathias Schneid Tessmann
  • Carlos Enrique Carrasco-Gutierrez
  • Alexandre Vasconcelos Lima

Abstract

This work aims to understand the determinants of the prices of corn and soybean futures traded on the Brazilian Stock Exchange (B3) based on the influence of international commodity prices on domestic prices. Using a theoretical model developed by Mundlack and Larson (1993) that considers the one-price law hypothesis, we estimate the Autoregressive Distributed Lag (ARDL) bounds test for cointegration (Pesaran et al., 2001), who tested the existence of a long-term relationship between the variables, as well as short-term influences. The database comprises the period from February 2011 to December 2019 and corresponds to the prices of corn and soybean futures contracts traded on the Brazilian Stock Exchange; and corn, soybeans and oil traded on the Chicago Mercantile Exchange, in addition to incorporating in the analysis the Brazilian macroeconomic variables exchange rate, inflation and GDP. The main results showed a long-term relationship between domestic prices, the exchange rate, and international prices negotiated in the United States for both commodities. Soybean prices are mostly affected by international prices in comparison to corn prices. In the short term, we found that soybean prices are affected by trading prices of the same commodity in the United States.

Suggested Citation

  • Mathias Schneid Tessmann & Carlos Enrique Carrasco-Gutierrez & Alexandre Vasconcelos Lima, 2023. "Determinants of Corn and Soybean Futures Prices Traded on the Brazilian Stock Exchange: An ARDL Approach," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 15(1), pages 1-65, January.
    • Handle: RePEc:ibn:ijefaa:v:15:y:2023:i:1:p:65
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    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

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