Normal backwardation é normal no mercado futuro brasileiro?
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1998
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The resarch tests whether what Keynes coined as normal backwardation is a feature of the Brazilian futures market. Four futures contracts which trade at BM&F Bolsa de Mercadorias e Futuros have been studied, namely, Ibovespa index futures contract, American dollar futures contract, cattle futures contract, and coffee futures contract. The study covers the July 1994 to September 1997 period. Each futures contract was subject to four tests suggested by the testable implications ot Keynes hypothesis. Our results lead to the conclusion that normal backwardation is not a normal feature in the Brazilian futures market. This is in line with what many authors have found in international markets.