The price and exchange rate risk simultaneous hedge of the Rondonópolis (MT) soybean production using future contracts of Bovespa-BM&F

Authors

  • Waldemar Antônio da Rocha de Souza
  • João Gomes Martines-Filho
  • Pedro Valentim Marques

Keywords:

simultaneous hedge, price and exchange rate risk, soybeans, Mato Grosso

Abstract

The joint hedging decision of soybean producers of Mato Grosso state with price and exchange rate futures contracts of BOVESPA-BM&F has been analyzed. A simultaneous price and exchange risk hedging model has been obtained and the efficiencies of differenthedging strategies have been calculated. The main findings were that the simultaneous hedging of price and exchange rate risk strongly reduces revenue risk comparatively to hedging with price futures only. The exchange risk jointly with price risk offset is a key for a strategic management of commodities exporters.

Author Biographies

Waldemar Antônio da Rocha de Souza

Professor Adjunto da Universidade Federal do Amazonas

João Gomes Martines-Filho

Professor do Departamento de Economia, Administração e Sociologia - LES
Universidade de São Paulo - Escola Superior de Agricultura Luiz de Queiroz

Pedro Valentim Marques

Professor Titular do Departamento de Economia, Administração e Sociologia - LES
Universidade de São Paulo - Escola Superior de Agricultura Luiz de Queiroz

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Published

2012-03-06

How to Cite

DE SOUZA, Waldemar Antônio da Rocha; MARTINES-FILHO, João Gomes; MARQUES, Pedro Valentim. The price and exchange rate risk simultaneous hedge of the Rondonópolis (MT) soybean production using future contracts of Bovespa-BM&F. Organizações Rurais & Agroindustriais, [S. l.], v. 13, n. 3, 2012. Disponível em: https://www.revista.dae.ufla.br/index.php/ora/article/view/434. Acesso em: 2 may. 2025.

Issue

Vol. 13 No. 3 (2011)

Section

Artigos