Efetividade de hedge e razão ótima de hedge para cultura do milho no estado de Goiás
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Data
2009-08
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Resumo
This study has as objective analyzes the operations of hedge of the corn
in the future market of BM&F for the State of Goiás and to define the
optimal hedge ratio of this operation and its respective effectiveness.
The used time series of future prices and spot prices are regarding the
period of May from 2002 to October of 2006 was obtained from the
Center for Advanced Studies in Applied Economics. Applying the
unitary root test, it was inferred that both series are stationary in the
first discrepancy (P=1). As result, was observed that the effectiveness
of the operations of hedge of the corn for the State of Goiás reduces the
risk in approximately 70%. That result determines the relevance of the
use of the hedge operations in the future market of BM&F for the State
of Goiás, and the use of the model (Myers and Thompson, 1989) applied
in the study as parameter for the analysis of the hedge operations.
Descrição
Palavras-chave
Hedge, Mercado futuro, Milho, Hedge, Future market, Corn
Citação
OLIVEIRA NETO, Odilon José; FIGUEIREDO, Reginaldo Santana; MACHADO, André Grossi. Efetividade de hedge e razão ótima de hedge para cultura do milho no estado de Goiás. Revista Brasileira de Gestão e Desenvolvimento Regional, Taubaté, v. 5, p. 115-138, maio/ ago. 2009.