Uma cadeia produtiva mais integrada? A utilização do hedge dinâmico na oscilação dos preços diários da cadeia produtiva da carne suína

Jovani Patias, Sergio Guilherme Schlender, Claudio Edilberto Höfler, Marco Antonio da Costa Malheiros and Leoni Pentiado Godoy

Revista de Economia e Sociologia Rural (RESR), 2019, vol. 57, issue 4

Abstract: Recent work has shown a lack of integration between the producer and retail markets in the pork production chain. Asolution to alleviate this obstacle could be performed through the dynamic hedging strategy with the Garch-DCC model, which would allow the management of daily buying and selling decisions. In this sense, the objective of the study was to verify if the model contributes efficiently to the daily price adjustments between the markets in comparison to the linear regression model, providing subsidies to producers to protect themselves from the price oscillations in the chain, reducing the risk against significant changes in prices. In order to do that, the period from 01/03/2011 to 08/27/2015 was analyzed, in which 1,156 observations were extracted for analysis. As a result, the hedge strategy for the Garch-DCC model presents better performance in comparison to the one performed by Linear Regression in reducing market oscillations. With this, this paper found an opening for the integration in the perceptions and the negotiation processes of this market in analysis.

Keywords: Livestock; Production/Industries (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:ags:revi24:341173

DOI: 10.22004/ag.econ.341173

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