THE DYNAMIC HEDGING EFFECTIVENESS FOR SOYBEAN FARMERS OF MATO GROSSO WITH FUTURES CONTRACTS OF BM&F

Authors

  • Waldemar Antônio da Rocha Universidade Federal do Amazonas
  • Carlos Eduardo Caldarelli Escola Superior de Agricultura Luiz de Queiroz

Keywords:

dynamic hedge, minimum variance, soybeans, Mato Grosso

Abstract

Dynamic hedging effectiveness for soybean farmers in Rondonópolis (MT) with futures contracts of BM&F is calculated through optimal hedge determination, using the bivariate GARCH BEKK model, which considers the conditional correlations of the prices series, comparing the results with the minimum variance model effectiveness, calculated by OLS, the unhedged and the naïve hedge positions. The financial effectiveness of the dynamic hedge model is superior and can be used by farmers for several decision making purposes such as price discovery, hedging calibration, cash flow projections, market timing, among others.

Published

2011-04-04

How to Cite

DA ROCHA, Waldemar Antônio; CALDARELLI, Carlos Eduardo. THE DYNAMIC HEDGING EFFECTIVENESS FOR SOYBEAN FARMERS OF MATO GROSSO WITH FUTURES CONTRACTS OF BM&F. Organizações Rurais & Agroindustriais, [S. l.], v. 12, n. 1, 2011. Disponível em: https://www.revista.dae.ufla.br/index.php/ora/article/view/32. Acesso em: 1 may. 2025.

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Section

Artigos