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Master's Dissertation
DOI
10.11606/D.11.2015.tde-12032015-152555
Document
Author
Full name
Carlos Santos Amorim Neto
E-mail
Institute/School/College
Knowledge Area
Date of Defense
Published
Piracicaba, 2015
Supervisor
Committee
Martines Filho, Joao Gomes (President)
Cruz Júnior, José César
Marques, Pedro Valentim
Title in Portuguese
Efetividade do hedge para o boi gordo com contratos da BM&FBOVESPA: análise para os estados de São Paulo e Goiás
Keywords in Portuguese
Boi gordo
Gestão de risco
Razão ótima de hedge
Abstract in Portuguese
O objetivo geral deste trabalho foi avaliar a eficiência do mercado futuro como forma de mitigação do risco associado aos preços do boi gordo para as praças de Araçatuba (SP) e Goiânia (GO). Calculou-se a efetividade do hedge por meio da razão ótima de hedge para as praças estudadas no período de 2002 a 2013, utilizando três tipos de modelos econométricos. No primeiro modelo, as variâncias e covariâncias condicionais foram tratadas como constantes e os preços spot e futuro não foram considerados correlacionados no tempo; no segundo modelo, relaxou-se a hipótese de que os preços spot e futuro não são correlacionados no tempo, portanto, adicionou-se um vetor de correção de erros ao modelo; e, no terceiro modelo, assumiu-se que as variâncias e covariâncias condicionais não são constantes. Os resultados obtidos por esses métodos indicaram que o uso do contrato futuro de boi gordo diminuiu a variância dos retornos no período estudado, de modo que as estimativas dinâmicas foram inferiores na efetividade em diminuir o risco de preço diante das estimativas obtidas por modelos estáticos. Ainda com o intuito de avaliar a eficiência do mercado futuro de boi gordo, foram quantificados a variância e os retornos do confinador nas praças estudadas através de simulações de compra de boi magro e posterior venda de boi gordo, realizando, simultaneamente, o hedge no mercado futuro. Observou-se que a utilização do contrato futuro diminuiu o coeficiente de variação para os períodos analisados em comparação às estratégias que não realizaram a utilização do hedge.
Title in English
Hedge effectiveness for live cattle using BM&FBOVESPA future contracts: analysis for the states of São Paulo and Goiás
Keywords in English
Live cattle
Optimal hedge ratio
Risk management
Abstract in English
The general objective of this research was to evaluate the efficiency of futures market in order to mitigate the risk of price of live cattle to the producers of Araçatuba (SP) and Goiânia (GO). To measure this effectiveness, we estimated the optimal hedge ratio from the period of 2002 to 2013, using three types of econometric models. In the first model, conditional variances and covariances were treated as constant and the spot and future prices were not considered correlated in time; in the second model, we relaxed the hypothesis that spot and future prices were not correlated in time, so, we added an error correction vector to the model; and, in the third model, we assumed that the conditional variances and covariances are not constant. The results obtained by these methods indicated that the use of live cattle contract was able to reduce the risk and also that the dynamic estimates do not overcome the static estimates. We also calculated the variance of returns for the producers of Araçatuba e Goiânia by purchasing simulations of steers and subsequent sale of live cattle, performing simultaneously the hedge on the market future. It was observed that the use of the futures contract decreased the coefficient of variation for the periods analyzed compared to the strategies that did not undergo the use of hedging.
 
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Publishing Date
2015-04-14
 
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