Razão ótima e efetividade do Hedge para a cultura da soja nos municípios de Rio Verde, Jataí e Cristalina no estado de Goiás

• Ano de defesa: 2020
• Autor(a) principal: Souza, Géssica Pereira de
• Orientador(a): Cunha, Cleyzer Adrian da
• Banca de defesa: Wander, Alcido Elenor, Cunha, Cleyzer Adrian da, Silva Neto, Waldemiro Alcântara da
• Tipo de documento: Dissertação
• Tipo de acesso: Acesso aberto
• Idioma: por
• Instituição de defesa: Universidade Federal de Goiás
• Programa de Pós-Graduação: Programa de Pós-graduação em Agronegócio (EA)
• Departamento: Escola de Agronomia - EA (RG)
• País: Brasil
• Palavras-chave em Português: Gestão de riscos; Mercado de soja; Mínima variância; MQO
• Palavras-chave em Inglês: Risk management; Soy market; Minimum Variance; OLS
• Área do conhecimento CNPq: CIENCIAS AGRARIAS::AGRONOMIA
• Link de acesso: http://repositorio.bc.ufg.br/tede/handle/tede/10890

Given the complexity and volatility given to prices in the grain market, especially soybeans, risk management have become increasingly relevant. Because of this, this work proposed to present and estimate the effectiveness of the tools, related to futures, available for this action. The first step was the identification of the Base and Base Risk for the region under study, the three municipalities with the highest volume of soy production in the state of Goiás, Rio Verde, Jataí, and Cristalina. Subsequently, we sought to estimate the optimal ratio and effectiveness of the hedge using, for this purpose, models of minimum variance through theOLS. For that, daily Spot prices for soy were used for the cities of Rio Verde, Jataí, and Cristalina. As for future prices, adjustment prices were collected at the expiration of SJC soybean contracts at B3. The data obtained comprise the period from April / 2014 to June / 2019. To obtain the results with greater accuracy, the ADF and KPSS tests were applied to check the series stationarity. Among the proposed models, a hedging strategy that presents greater effectiveness in mit igating risks was the model proposed by Engle and Granger that uses an error correction mechanism, and Rio Verde was the city where the producer used or hedged a higher percentage of its production, 61.30%, reducing by about 51% of the price risks assumed in production. In Jataí, the risk reduction was 53.50%, with an OHR of 60.80%. The city where or hedge had the best result in terms of risk reduction was the municipality of Cristalina, where a reduction was 54%, with an OHR of 54.80%.