Contratos futuros como opção de Hedge para a cobertura de custos básicos da produção de soja uma análise para o Rio Grande Do Sul

Abstract

Considering that the risk of agricultural activity involves several variables, such as climate, soil conditions, employment and price volatility, where the latter is determined in an international and volatile market, risk management becomes an indispensable tool for agricultural operations. Given this, the present study seeks to analyze the optimal hedge ratio and hedge effectiveness for the state of Rio Grande do Sul in the period from 2014 to 2022, added to a comparison with the years 2014 to 2019, due to the occurrence of the pandemic of COVID-19. The commodity used for analysis was soybeans. Furthermore, a brief analysis was carried out comparing the results found with the representativeness of the production obtained and its allocation to the basic costs for the existence of a crop, which is estimated at approximately 38%. Historical series of soybean spot and future prices were used. To obtain results of better quality and precision, the ADF and KPSS tests were applied to verify the stationarity of the series. The OLS estimation of five models was carried out: conventional model, conventional model in difference (Eangle and Granger), Myers and Thompson model, conventional model in difference with error correction and Myers and Thompson model with lag, with model 5 which achieved the best degree of adjustment. Thus, the results found were that by protecting 27,80% of production, the price risk reduces by 31,58% for the period from 2014 to 2022, and by protecting 36,41% of production, the price risk reduces to 44,34% for the period from 2014 to 2019, thus demonstrating the impact of the pandemic. Thus, hedging through futures contracts proves to be a useful tool for mitigating price risks, as it reduces uncertainty regarding the revenue values to be obtained at the end of the harvest.