Trabalho de Conclusão de Curso de Graduação
Razão ótima e efetividade do hedge com uso do contrato futuro da b3 para soja brasileira no período entre 2019 e 2020
Fecha
2021-10-19Autor
Matsenbach, Jacson Rafael
Institución
Resumen
The production and sale of soybeans takes place in a context where prices are
determined by a complex and volatile international market, therefore, risk management
becomes essential for this activity. Therefore, this study analyzed the optimal hedge
ratio and the hedge effectiveness for trades carried out in the reference market in
Brazil, the region of Paranaguá-PR, in the period from January 2019 to December
2020. Historical series of the trading prices for soybeans in the physical market and in
the futures market. The analyzes used included stationarity, through the Dickey-Fuller
Augmenting (ADF) test, and cointegration, through the trace and maximum eigenvalue
tests. OLS estimations of 5 empirical models were performed. The results point to the
need for the producer in this region to determine 72.41% of the value of their production
in the derivatives market to achieve a 46.54% reduction in financial risk in the
commercialization of soybeans. From the results obtained, it can be considered that
the hedge is a useful tool for the risk management of the rural producer, as it reduces
the uncertainty regarding the revenues added by the commercialization of soybeans.