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.


Variant title:
Efetividade do Hedge Dinâmico para produtores de soja em Mato Grosso utilizando contratos futuros da BM&F
Editor(s):
Reis, Ricardo Pereira
Issue Date:
Apr 05 2010
Publication Type:
Journal Article
PURL Identifier:
http://purl.umn.edu/93578
Published in:
Organizações Rurais e Agroindustriais/Rural and Agro-Industrial Organizations, Volume 12, Number 1
Page range:
34-45
Total Pages:
12




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

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