Comparative analysis of the hedging effectiveness for soybean using ols and bivariate Garch Bekk Model

Detalhes bibliográficos
Autor(a) principal: Caldarelli, Carlos Eduardo
Data de Publicação: 2011
Outros Autores: Souza, Waldemar Antônio da Rocha de
Tipo de documento: Artigo
Idioma: por
Título da fonte: Revista de Economia (Curitiba. Online)
Texto Completo: https://revistas.ufpr.br/economia/article/view/27533
Resumo: Dynamic hedging effectiveness for soybean farmers in Rondonópolis (MT) with futures contracts of BM&F-BOVESPA 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.
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spelling Comparative analysis of the hedging effectiveness for soybean using ols and bivariate Garch Bekk ModelDynamic hedge; minimum variance; soybeans; Mato Grosso.Dynamic hedging effectiveness for soybean farmers in Rondonópolis (MT) with futures contracts of BM&F-BOVESPA 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.UFPRCaldarelli, Carlos EduardoSouza, Waldemar Antônio da Rocha de2011-12-31info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfhttps://revistas.ufpr.br/economia/article/view/2753310.5380/re.v37i3.27533Revista de Economia; v. 37, n. 3 (2011)2316-93970556-578210.5380/re.v37i3reponame:Revista de Economia (Curitiba. Online)instname:Universidade Federal do Paraná (UFPR)instacron:UFPRporhttps://revistas.ufpr.br/economia/article/view/27533/18340info:eu-repo/semantics/openAccess2012-07-03T18:01:58Zoai:revistas.ufpr.br:article/27533Revistahttps://revistas.ufpr.br/economiaPUBhttps://revistas.ufpr.br/economia/oaire@ufpr.br2316-93970556-5782opendoar:2012-07-03T18:01:58Revista de Economia (Curitiba. Online) - Universidade Federal do Paraná (UFPR)false
dc.title.none.fl_str_mv Comparative analysis of the hedging effectiveness for soybean using ols and bivariate Garch Bekk Model
title Comparative analysis of the hedging effectiveness for soybean using ols and bivariate Garch Bekk Model
spellingShingle Comparative analysis of the hedging effectiveness for soybean using ols and bivariate Garch Bekk Model
Caldarelli, Carlos Eduardo
Dynamic hedge; minimum variance; soybeans; Mato Grosso.
title_short Comparative analysis of the hedging effectiveness for soybean using ols and bivariate Garch Bekk Model
title_full Comparative analysis of the hedging effectiveness for soybean using ols and bivariate Garch Bekk Model
title_fullStr Comparative analysis of the hedging effectiveness for soybean using ols and bivariate Garch Bekk Model
title_full_unstemmed Comparative analysis of the hedging effectiveness for soybean using ols and bivariate Garch Bekk Model
title_sort Comparative analysis of the hedging effectiveness for soybean using ols and bivariate Garch Bekk Model
author Caldarelli, Carlos Eduardo
author_facet Caldarelli, Carlos Eduardo
Souza, Waldemar Antônio da Rocha de
author_role author
author2 Souza, Waldemar Antônio da Rocha de
author2_role author
dc.contributor.none.fl_str_mv
dc.contributor.author.fl_str_mv Caldarelli, Carlos Eduardo
Souza, Waldemar Antônio da Rocha de
dc.subject.por.fl_str_mv Dynamic hedge; minimum variance; soybeans; Mato Grosso.
topic Dynamic hedge; minimum variance; soybeans; Mato Grosso.
description Dynamic hedging effectiveness for soybean farmers in Rondonópolis (MT) with futures contracts of BM&F-BOVESPA 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.
publishDate 2011
dc.date.none.fl_str_mv 2011-12-31
dc.type.none.fl_str_mv
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv https://revistas.ufpr.br/economia/article/view/27533
10.5380/re.v37i3.27533
url https://revistas.ufpr.br/economia/article/view/27533
identifier_str_mv 10.5380/re.v37i3.27533
dc.language.iso.fl_str_mv por
language por
dc.relation.none.fl_str_mv https://revistas.ufpr.br/economia/article/view/27533/18340
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv UFPR
publisher.none.fl_str_mv UFPR
dc.source.none.fl_str_mv Revista de Economia; v. 37, n. 3 (2011)
2316-9397
0556-5782
10.5380/re.v37i3
reponame:Revista de Economia (Curitiba. Online)
instname:Universidade Federal do Paraná (UFPR)
instacron:UFPR
instname_str Universidade Federal do Paraná (UFPR)
instacron_str UFPR
institution UFPR
reponame_str Revista de Economia (Curitiba. Online)
collection Revista de Economia (Curitiba. Online)
repository.name.fl_str_mv Revista de Economia (Curitiba. Online) - Universidade Federal do Paraná (UFPR)
repository.mail.fl_str_mv re@ufpr.br
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