The hedge effectiveness of future corn contracts at BM&F: an application for Maringá area, Paraná State

Detalhes bibliográficos
Autor(a) principal: Tonin, Julyerme Matheus
Data de Publicação: 2009
Outros Autores: Braga, Marcelo José, Coelho, Alexandre Bragança
Tipo de documento: Artigo
Idioma: por
Título da fonte: Revista de Economia (Curitiba. Online)
Texto Completo: https://revistas.ufpr.br/economia/article/view/17053
Resumo: This article aims to examine the relationship between futures andspot corn prices in the Maringá area. In order to verify the relationship amongprices, the Granger test of causality was used and also the co-integration test itwas used to evaluate if a relationship long term exists among those two variables.The hedge effectiveness and the optimal hedge ratio was made calculations to the hedgers in the Maringá area. The data was period of November, 1996 toNovember, 2007. A bi-causal relationship was verified between the analyzedseries and the existence of a relationship of long term between variables. It wasalso confirmed that the hedge effectiveness is low in that area although it is aviable mechanism, to guarantee to participants of the chain of the corn minorrisks and losses.
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spelling The hedge effectiveness of future corn contracts at BM&F: an application for Maringá area, Paraná StateEfetividade de hedge do milho com contratos futuros da BM&F: uma aplicação para a região de Maringá (PR)mercados futuros, razão ótima, efetividade de hedge.This article aims to examine the relationship between futures andspot corn prices in the Maringá area. In order to verify the relationship amongprices, the Granger test of causality was used and also the co-integration test itwas used to evaluate if a relationship long term exists among those two variables.The hedge effectiveness and the optimal hedge ratio was made calculations to the hedgers in the Maringá area. The data was period of November, 1996 toNovember, 2007. A bi-causal relationship was verified between the analyzedseries and the existence of a relationship of long term between variables. It wasalso confirmed that the hedge effectiveness is low in that area although it is aviable mechanism, to guarantee to participants of the chain of the corn minorrisks and losses.O presente artigo objetiva examinar a relação de preços futuros e àvista do milho na região de Maringá. Utilizou-se o teste de causalidade deGranger e o teste de co-integração para avaliar a relação existente entre asséries de preço. Posteriormente calculou-se a efetividade e a razão ótima dehedge, ou seja, o grau de proteção oferecido e o percentual da produção quedeve ser vinculado à contratos futuros de milho da BM&F de forma a maximizara utilidade dos hedgers da região de Maringá. Os dados referem-se ao períodode novembro de 1996 a novembro de 2007. Verificou-se uma relação bicausale existência de uma relação de longo prazo entre séries analisadas.Confirmou-se também que a efetividade de hedge é baixa nesta região, emborao hedge seja um mecanismo viável para garantir aos integrantes da cadeiado milho menores riscos e perdas.UFPR2009-04-30info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfhttps://revistas.ufpr.br/economia/article/view/1705310.5380/re.v35i1.17053Revista de Economia; v. 35, n. 1 (2009)2316-93970556-578210.5380/re.v35i1reponame:Revista de Economia (Curitiba. Online)instname:Universidade Federal do Paraná (UFPR)instacron:UFPRporhttps://revistas.ufpr.br/economia/article/view/17053/11248Tonin, Julyerme MatheusBraga, Marcelo JoséCoelho, Alexandre Bragançainfo:eu-repo/semantics/openAccess2020-07-14T18:16:06Zoai:revistas.ufpr.br:article/17053Revistahttps://revistas.ufpr.br/economiaPUBhttps://revistas.ufpr.br/economia/oaire@ufpr.br2316-93970556-5782opendoar:2020-07-14T18:16:06Revista de Economia (Curitiba. Online) - Universidade Federal do Paraná (UFPR)false
dc.title.none.fl_str_mv The hedge effectiveness of future corn contracts at BM&F: an application for Maringá area, Paraná State
Efetividade de hedge do milho com contratos futuros da BM&F: uma aplicação para a região de Maringá (PR)
title The hedge effectiveness of future corn contracts at BM&F: an application for Maringá area, Paraná State
spellingShingle The hedge effectiveness of future corn contracts at BM&F: an application for Maringá area, Paraná State
Tonin, Julyerme Matheus
mercados futuros, razão ótima, efetividade de hedge.
title_short The hedge effectiveness of future corn contracts at BM&F: an application for Maringá area, Paraná State
title_full The hedge effectiveness of future corn contracts at BM&F: an application for Maringá area, Paraná State
title_fullStr The hedge effectiveness of future corn contracts at BM&F: an application for Maringá area, Paraná State
title_full_unstemmed The hedge effectiveness of future corn contracts at BM&F: an application for Maringá area, Paraná State
title_sort The hedge effectiveness of future corn contracts at BM&F: an application for Maringá area, Paraná State
author Tonin, Julyerme Matheus
author_facet Tonin, Julyerme Matheus
Braga, Marcelo José
Coelho, Alexandre Bragança
author_role author
author2 Braga, Marcelo José
Coelho, Alexandre Bragança
author2_role author
author
dc.contributor.author.fl_str_mv Tonin, Julyerme Matheus
Braga, Marcelo José
Coelho, Alexandre Bragança
dc.subject.por.fl_str_mv mercados futuros, razão ótima, efetividade de hedge.
topic mercados futuros, razão ótima, efetividade de hedge.
description This article aims to examine the relationship between futures andspot corn prices in the Maringá area. In order to verify the relationship amongprices, the Granger test of causality was used and also the co-integration test itwas used to evaluate if a relationship long term exists among those two variables.The hedge effectiveness and the optimal hedge ratio was made calculations to the hedgers in the Maringá area. The data was period of November, 1996 toNovember, 2007. A bi-causal relationship was verified between the analyzedseries and the existence of a relationship of long term between variables. It wasalso confirmed that the hedge effectiveness is low in that area although it is aviable mechanism, to guarantee to participants of the chain of the corn minorrisks and losses.
publishDate 2009
dc.date.none.fl_str_mv 2009-04-30
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/17053
10.5380/re.v35i1.17053
url https://revistas.ufpr.br/economia/article/view/17053
identifier_str_mv 10.5380/re.v35i1.17053
dc.language.iso.fl_str_mv por
language por
dc.relation.none.fl_str_mv https://revistas.ufpr.br/economia/article/view/17053/11248
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. 35, n. 1 (2009)
2316-9397
0556-5782
10.5380/re.v35i1
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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