Dynamic connectedness between energy markets and the Brazilian cash market: An empirical analysis pre‐ and post‐COVID‐19
研究了商品期货与巴西现货市场之间的动态关联性，发现油价对巴西乙醇价格影响显著，且豆粕现货价格是最有效的对冲工具，对投资者和政策制定者有参考价值。
Abstract Brazil's significant commodity production is internationally recognized, yet the absence of a mature futures market exposes it to price risks and international shocks. This study explores the dynamic connectedness between commodity futures and the Brazilian cash markets, using a time‐varying parameter vector autoregressive model. We also assess COVID‐19's impact on this connectedness. We find a significant influence of oil prices on Brazilian ethanol prices, and particularly emphasize the Heating Oil spillover effect on ethanol in the post‐COVID‐19 era. We also note the ascension of Brazilian soybean spot markets' international significance since 2017, amplifying their role in global grain price discovery. Finally, by computing hedge ratios and effectiveness between commodity futures contracts and Brazilian spot prices, our study reveals soybean cash price as the most effective hedge. These insights deepen comprehension of connectedness within Brazilian commodity markets, thereby guiding investors and policymakers in strategic energy policy decisions.