Operações de hedge de milho para importantes municípios goianos
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Data
2013-12
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Resumo
This study examined the optimal hedge ratio and its effectiveness through three different
models (OLS, VAR and VEC) to obtain the most efficient model in helping to reduce risks and to
obtain the optimal plot in the negotiations in the futures markets. Among the estimated models, the
method of cointegrated series with the Engle-Granger error correction mechanism (OLS) showed to
be the most efficient for the choice of optimal plot and risk reduction in the negotiations with futures
contracts. Among the evaluated marketplaces of important municipalities in state of Goiás, Brazil,
most of them had an optimal percentage of trading in futures contracts above 62%, except for the
municipality of Chapadão do Céu (49%). As for hedge effectiveness, the minimal protection against
dissipated risks was 51%, demonstrating that the hedging transaction is effective in all municipalities.
The results showed that the hedging transactions in futures markets are an important tool in
minimizing price risks for agents of the production chain of corn in the studied locations.
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Efetividade, Modelos MQO, VAR e VEC, Razão ótima de hedge, Effectiveness, OLS, Optimal hedge ratio
Citação
RODRIGUES, Gislene Zinato; CUNHA, Cleyzer Adrian da. Operações de hedge de milho para importantes municípios goianos. Revista de Politica Agricola, Brasília, v. 22, n. 4, p. 38-55, out./dez. 2013.