Análise das operações de hedge do boi gordo no mercado futuro da BM&F para o estado de Goiás

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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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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.