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Revista de Economia e Sociologia Rural

versão impressa ISSN 0103-2003versão On-line ISSN 1806-9479

Resumo

SILVA, Andréia Regina O. da; AGUIAR, Danilo R. D.  e  LIMA, João Eustáquio de. Hedging with futures contracts in the Brazilian soybean complex: : BM&F vs. CBOT. Rev. Econ. Sociol. Rural [online]. 2003, vol.41, n.2, pp.383-405. ISSN 1806-9479.  http://dx.doi.org/10.1590/S0103-20032003000200004.

This article analyzes the effectiveness of hedging Brazilian soy oil, soy meal, and soybeans in the Chicago Board of Trade (CBOT) and in the Brazilian Commodities and Futures Exchange (BM&F) to reduce the risk of financial loss due to commodity price fluctuations. The econometric results show that a cross-hedging strategy using the BM&F soybean futures contract is an instrument of low effectiveness for managing soy oil and soy meal price risk. Despite low effectiveness, the estimates demonstrate total advantage for soy meal hedging operations using CBOT soy meal futures contracts rather than cross-hedging using BM&F soybean futures contracts. With some exceptions, the results are also more favorable for hedging soy oil with soy oil futures contracts at the CBOT rather than cross hedging with soybeans at the BM&F. Conversely, Brazilian traders hedging soybeans receive more effective risk protection by trading soybean futures contracts at the BM&F than by trading soybean futures contracts at the CBOT.

Palavras-chave : cross-hedging; soybean industry; hedging effectiveness.

        · texto em Inglês

 

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