¿Es la tasa de interés más importante que los inventarios? El caso de los commodities agrícolas en el contexto del proceso de financiarización

  • Esteban Otto Thomasz Universidad de Buenos Aires
  • Juan Miguel Massot Universidad de Buenos Aires
  • Gonzalo Rondinone Universidad de Buenos Aires
Palabras clave: financiarización, commodities agrícolas, tasa de interés, vectores auto-regresivos

Resumen

En el marco del “milagro” de las economías asiáticas, la evolución de los precios de commodities entre 2004 y 2014 pudo haber sido influenciada por la entrada de inversores de cartera como nuevos participantes del mercado, incorporando índices de commodities y otros productos financieros asociados en sus portfolios de inversión. Esto genera el interrogante de si la tasa de interés ha tenido mayores efectos en los precios en comparación con variables fundamentales como los inventarios. Consecuentemente, el objetivo de este trabajo es testear si los precios del grano de soja y del maíz han sido más sensibles a cambios en la tasa de interés en comparación con cambios en los inventarios. A partir de un sistema de vectores auto-regresivos, se observa que durante el período 2004-2010 hay una relación más sensible entre los cambios en la tasa de interés y los precios de los contratos de futuro de grano de soja y del maíz que en el período 1990-2003. Esta evidencia empírica resulta especialmente relevante para algunos países de Latinoamérica dependientes de la exportación de tales commodities.

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Biografía del autor/a

Esteban Otto Thomasz, Universidad de Buenos Aires

Secretario Académico del Centro de Investigación en Métodos Cuantitativos Aplicados a la Economía y la Gestión (CMA), Instituto de Investigaciones en Administración, Contabilidad y Métodos Cuantitativos para la Gestión (IADCOM), Universidad de Buenos Aires.

Juan Miguel Massot, Universidad de Buenos Aires

Researcher at the Center for Research in Quantitative Methods Applied to Economics and Management (CMA), Institute for Research in Administration, Accounting and Quantitative Methods for Management (IADCOM), University of Buenos Aires.

Gonzalo Rondinone, Universidad de Buenos Aires

Estudiante de doctorado, Centro de Investigación en Métodos Cuantitativos Aplicados a la Economía y la Gestión (CMA), Instituto de Investigaciones en Administración, Contabilidad y Métodos Cuantitativos de Gestión (IADCOM), Universidad de Buenos Aires.

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Publicado
2016-07-15
Cómo citar
Thomasz E. O., Massot J. M., & Rondinone G. (2016). ¿Es la tasa de interés más importante que los inventarios? El caso de los commodities agrícolas en el contexto del proceso de financiarización. Lecturas De Economía, (85), 127-153. https://doi.org/10.17533/udea.le.n85a04
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