Efetividade do hedge de soja em grÃ£o brasileira com contratos futuros de diferentes vencimentos na Chicago Board of Trade
The objective of this paper was to analyze the risk protection provided by the futures contracts traded at CBOT (Chicago Board of Trade) at different delivery months to Brazilian Soybean hedgers. The empirical approach adopted was the estimation of hedging effectiveness between every Brazilian production state and the CBOT futures contracts. The results showed that the contracts for delivery in the second semester are more effective, mainly those for delivery in July and August. Moreover, supply shocks in the U.S. can make even the contracts for delivery in November and January to be very effective because of stronger procurement for Brazilian soybeans. The results also show that hedging effectiveness is larger near export harbors, as they were the cases of CÃ¢ndido Mota (SP), Campo MourÃ£o (PR) and Ponta Grossa (PR).
Volume (Year): 2 (2004)
Issue (Month): 4 ()
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