Soybean Market Hedge Operations: a comparative analysis for the State of Paraná
This article aims to examine the soybean spot price correlation between producers from the Maringá region and port of Paranaguá wholesalers, and the BM&F and CBOT future price indexes. The compiled data is referred to the period from January, 2003 to September, 2008. The relation between spo...
| Autores: | , , |
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| Tipo de recurso: | artículo |
| Estado: | Versión publicada |
| Fecha de publicación: | 2011 |
| País: | Brasil |
| Institución: | Instituto Paranaense de Desenvolvimento Econômico e Social (IPARDES) |
| Repositorio: | Revista Paranaense de Desenvolvimento (Online) |
| Idioma: | portugués |
| OAI Identifier: | oai:ojs.ipardes.emnuvens.com.br:article/1 |
| Acceso en línea: | https://ipardes.emnuvens.com.br/revistaparanaense/article/view/1 |
| Access Level: | acceso abierto |
| Palabra clave: | Basis Risk Causality Hedge optimal ratio and effectiveness Risco de base Causalidade Razão ótima e efetividade de hedge |
| Sumario: | This article aims to examine the soybean spot price correlation between producers from the Maringá region and port of Paranaguá wholesalers, and the BM&F and CBOT future price indexes. The compiled data is referred to the period from January, 2003 to September, 2008. The relation between spot and future prices of the selected places was analyzed with the use of basis risk calculation, Granger test of causality and effectiveness and optimal ratio of hedge. The calculation demonstrated that the basis of the BM&F future contracts, in the first semester of the years examined, tends to be less sustainable than the basis of the CBOT future contracts. This tendency is reversed in the second semester. As for the Granger test of causality, a bi-causal correlation was observed between the spot and future prices, and an unidirectional correlation observed between spots prices. The analysis of the effectiveness and optimal ratio of hedge suggests that the BM&F future contracts have a wider probability for price risk reduction. |
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