The Dynamic Hedging Effectiveness for Soybean Farmers of Mato Grosso with Futures Contracts of BM&F

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.


Issue Date:
2009-11
Publication Type:
Conference Paper/ Presentation
PURL Identifier:
http://purl.umn.edu/54990
Total Pages:
16
Note:
Paper presented in the VII PENSA CONFERENCE, November/2009, FEA/USP, São Paulo, Brazil.

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 Record created 2017-04-01, last modified 2017-05-27

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