IDEAS home Printed from https://ideas.repec.org/a/ags/orarao/93578.html
   My bibliography  Save this article

The Dynamic Hedging Effectiveness For Soybean Farmers Of Mato Grosso With Futures Contracts Of Bm&F

Author

Listed:
  • Rocha, Waldemar Antonio da
  • Caldarelli, Carlos Eduardo

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.

Suggested Citation

  • Rocha, Waldemar Antonio da & Caldarelli, Carlos Eduardo, 2010. "The Dynamic Hedging Effectiveness For Soybean Farmers Of Mato Grosso With Futures Contracts Of Bm&F," Organizações Rurais e Agroindustriais/Rural and Agro-Industrial Organizations, Universidade Federal de Lavras, Departamento de Administracao e Economia, vol. 12(1), pages 1-12, April.
    • Handle: RePEc:ags:orarao:93578
    DOI: 10.22004/ag.econ.93578
    as

    Download full text from publisher

    File URL: https://ageconsearch.umn.edu/record/93578/files/Artigo3.pdf
    Download Restriction: no
    File URL: https://libkey.io/10.22004/ag.econ.93578?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ags:orarao:93578. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: AgEcon Search (email available below). General contact details of provider: https://edirc.repec.org/data/deflabr.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.