Análise do efeito do risco de base na comercialização da soja em Mato Grosso e seu comportamento (2009 a 2019)

• Ano de defesa: 2020
• Autor(a) principal: Nardino, Felipe Parmeggiani
• Tipo de documento: Dissertação
• Tipo de acesso: Acesso aberto
• Idioma: por
• Instituição de defesa: Universidade Federal de Mato Grosso; Brasil; Faculdade de Economia (FE); UFMT CUC - Cuiabá; Programa de Pós-Graduação em Economia
• Palavras-chave em Português: Commodity; Preços à vista; Preços futuros; Risco de base; Hedge; CNPQ::CIENCIAS SOCIAIS APLICADAS::ECONOMIA; Spot prices; Future prices; Basis risk
• Link de acesso: http://ri.ufmt.br/handle/1/4917

Considering the stylized fact that agricultural commodities play a great influence into Brazilian gross domestic product, overall, in Mato Grosso state economy, it is of fundamental importance to understand the risks inherent to agricultural activity. Seeking for price risk protection in soybeans trading, arising from high commodity prices volatility (common characteristic to agricultural commodities), stock and futures exchanges are often used for players that operates in this sector as a way to set hedging operations. Although, taking under consideration, the geographical layout difference between spot and future markets, such hedging operations, may present imperfections, resulting in the appearance of an implicit trading risk, known as basis risk. In summary the basis represents nothing but the difference between spot and future prices, in a certain date. In the other hand, basis risk represents the uncertainty, regarding to the basis behavior throughout time. It happens because spot and future prices throughout time, do not behavior similarly, i.e. the basis, as time passes, will present a difference, named as basis risk. Therefore, to understand the basis behavior, as well as hedging operations effectiveness, is a matter of great relevance, once this implicit risk can lead Mato Grosso’s agribusiness chain agents to face expressive losses, therefore, to the State’s economy as a hole. Thus, we present a discussion about the subjects that surrounds price risk, such as: basis risk; hedging using futures contracts as a toll for protection; hedging operation effectiveness; and hedge optimal ratio. We use a set of hedging operation simulations, using spot prices for the municipalities of Sorriso – MT, Sapezal – MT, Rondonópolis- MT, Nova Mutum – MT and Querência – MT, and futures prices contracts for January (ZSF), March (ZSH) and May (ZSK) maturities, trade in the Chicago ́s futures exchange, for the time period between 2009 through 2019, using a color scale map. This research evaluated the basis behavior, willing to identify whether a loss or a gain pattern arising from these protection operations, as well as the period that may optimize its results. Using econometric data analysis, the hedging optimal ratio and hedging effectiveness as a protection tool against price risk were estimated using ARMA and GARCH models. It is expected that this research results may bring to light, relevant information that contributes for the trading agents of this important commodity, in Mato Grosso State, to make more assertive decisions while trading or for economic-financial analysis purposes.