Razão ótima de hedge para soja em Goiás e Mato Grosso
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Data
2013-03
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Resumo
The overall objective of this study was to estimate the optimal hedge ratio as a form of
investment management of grain soybean contracts in the municipality of Sorriso, state of Mato
Grosso, Brazil, and in the municipality of Rio Verde, state of Goiás, Brazil. These regions were chosen
because of the importance of their production rates in the national context of grain trade. Mato
Grosso is the leading Brazilian producer, and Rio Verde is the main producer in Goiás. The results
show that Rio Verde and Sorriso should hedge, respectively, 53.88 percent and 69.44 percent of
their spot market production to have 42.47 percent and 52.85 percent effectiveness, respectively.
The bootstrapping simulation also showed the disparity in the results of the optimal hedge ratio. Out
of the 1,000 repetitions about 700 repetitions were above 54 percent for Rio Verde. For Sorriso, the
same simulations showed that 950 of the 1,000 repetitions were above 69 percent for optimal hedge ratio. Therefore, the soybean producers in Sorriso are more exposed to risk, so they should hedge a
higher percentage of their production both in the physical and the futures market.
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Palavras-chave
Comercialização de soja, Mercado de futuros, Risco de mercado, Soybean trade, Futures market, Market risk
Citação
MEDEIROS, João Antônio Vilela ; CUNHA, Cleyzer Adrian; WANDER, Alcido Elenor. Razão ótima de hedge para soja em Goiás e no Mato Grosso. Revista de Politica Agricola, Brasília, v. 1, n. 1, 128-136, jan./mar. 2013