The Dynamic Hedging Effectiveness For Soybean Farmers Of Mato Grosso With Futures Contracts Of Bm&F
AbstractDynamic hedging effectiveness for soybean farmers in RondonÃ³polis (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 naÃ¯ve 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.
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Bibliographic InfoArticle provided by Universidade Federal de Lavras, Departamento de Administracao e Economia in its journal Organizacoes Rurais e Agroindustriais/Rural and Agro-Industrial Organizations.
Volume (Year): 12 (2010)
Issue (Month): 1 ()
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Phone: 0xx35 3829.1441
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More information through EDIRC
dynamic hedge; minimum variance; soybeans; Mato Grosso; Agribusiness; Agricultural Finance; Industrial Organization;
Other versions of this item:
- Souza, Waldemar Antonio da Rocha & Caldarelli, Carlos Eduardo & Rocha, Clei Machado & Martines-Filho, Joao, 2009. "The Dynamic Hedging Effectiveness for Soybean Farmers of Mato Grosso with Futures Contracts of BM&F," Miscellaneous Papers 54990, Agecon Search.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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