Análise das operações de hedge do boi gordo no mercado futuro da BM&F para o estado de Goiás
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Data
2008-06
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Resumo
This paper analyzes the hedge operations of the beef cattle in the future market of BM&F for the State of Goias.
Therefore, a time series for fat bull prices in Goiás State was obtained from Farmer’s Association and a time
series for beef cattle prices in the future market of BM&F was obtained from the Center for Advanced Studies in
Applied Economics following by the presentation and analysis of the basis behavior of the basis and of the basis
risk. In the sequence the time series of prices were analyzed starting from the application of the Aumented
Dickey-Fuller Test to verify the stationary. As it can be observed in those analyses, it can be inferred that the
series are non-stationary. Soon afterwards, the series were submitted to transformations to analyze the stationary.
According to the test, the series were stationary in the first difference. In the sequence, the calculations of the
optimal hedge ratio and hedge effectiveness were accomplished. It is concluded with the effectiveness of the
hedge operations, there was a decrease of approximately 90% of the risk. Its result determines the relevance of
the use of the hedge operations in the future market of BM&F for State of Goiás, and the use of the applied
model of the Myers and Thompson (1989) as the best parameter for the decision in the hedge operations.
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Palavras-chave
Hedge, Mercado futuro, Boi gordo, Hedge, Future market, Beef cattle
Citação
OLIVEIRA NETO, Odilon José de; FIGUEIREDO, Reginaldo Santana. Análise das operações de hedge do boi gordo no mercado futuro da BM&F para o Estado de Goiás. Gestão & Planejamento, Salvador, v. 9, n. 1, p. 77-93, jan./jun. 2008.