Description
© 2015, Universidade Federal Rural de Pernambuco. All rights reserved.Commodities are primary goods, with low levels of industrialization, include the agricultural, metal and energy sectors. The agricultural commodities have an important role in Brazil's economy, accounted by 46.7% of total exports in 2013. Given the economic relevance to productive matrix of Brazilian agribusiness, investment in commodity assets can be an alternative to reduce portfolio risk. This paper intends to measure the systematic risk of price for Brazilian and International commodities to changes in the portfolio of commodities market (Brazilian and International) and financial market (IBOVESPA and S&P 500). We use monthly data from January 1998 to March 2014. The results indicate that Brazilian commodities have a high sensitivity to the domestic commodities market and the local financial market. These results suggest the existence of a common risk factor in the commodities market, which differs from the results of many previous studies. Therefore, the effect of Brazilian commodities in portfolio diversification is very limited.
