IMPACTO DE FATORES DE MERCADO NOS RETORNOS DE PREÇOS AGRÍCOLAS

Primary products account for nearly half of Brazil’s exports in 2014. The agricultural sector was responsible for most of this, due to the expansion of cultivated areas, and increased productivity and consumption by Asian countries. Despite good performance, the producers from this sector must manage the risks involved in production. The aim of this study was to estimate the systematic risk of more agricultural products produced in Brazil, such as sugar, coffee, corn, wheat and soybeans, in relation to international future price, Bovespa Index, S&P 500 and the exchange rate. We estimate the asset pricing model (CAPM) and the Arbitrage Pricing Theory (APT) with daily data obtained from January 2010 to March 2015. The results indicate that the products have positive sensitivity to financial markets and future prices and negative sensitivity to exchange rate. The findings suggest that agricultural products have homogeneous behavior and are highly associated to changes in financial and foreign exchange market