THE DYNAMIC HEDGING EFFECTIVENESS FOR SOYBEAN FARMERS OF MATO GROSSO WITH FUTURES CONTRACTS OF BM&F

Waldemar Antonio da Rocha and Carlos Caldarelli

Organizações Rurais e Agroindustriais/Rural and Agro-Industrial Organizations, 2010, vol. 12, issue 01, 12

Abstract: Dynamic hedging effectiveness for soybean farmers in Rondonópolis (MT) with futures contracts of BM&F is calculated through optimal hedge determination, using the bivariate GARCH BEKK model, which considers the conditional correlations of the prices series, comparing the results with the minimum variance model effectiveness, calculated by OLS, the unhedged and the naïve hedge positions. The financial effectiveness of the dynamic hedge model is superior and can be used by farmers for several decision making purposes such as price discovery, hedging calibration, cash flow projections, market timing, among others.

Keywords: Agribusiness; Agricultural Finance; Industrial Organization (search for similar items in EconPapers)
Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:ags:orarao:93578

DOI: 10.22004/ag.econ.93578

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