Razão ótima e efetividade do hedge com uso do contrato futuro da b3 para soja brasileira no período entre 2019 e 2020

Abstract

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.