Análise das operações de cross hedge do bezerro e do hedge do boi gordo no mercado futuro da BM&amp;F

Silveira, Rodrigo Lanna Franco da; Filho, Joaquim Bento de Souza Ferreira

doi:10.1590/s0103-20032003000400008

Cited by 10 publications

(9 citation statements)

References 2 publications

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“…According to Oliveira Neto and Figueiredo (2008), the difficult of beef cattle producers in dealing with uncertain financial scenarios in the physical market, as well as the real need to protect themselves against constant price fluctuations reveals the importance of hedging contracts in futures markets.…”

Section: Resultsmentioning

confidence: 99%

Influence of sex on performance, carcass traits and economic feasibility of cattle fed high grain diets

et al. 2014

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This study was aimed at evaluating the effect of gender on performance, carcass traits and economic feasibility of finishing beef cattle fed high grain diets. The experiment was conducted at the Manaus Farm, located in the boroughs of Itajú do Colônia, southern Bahia state. A total of 40 Nellore animals have been used: 20 uncastrated strees and 20 heifers, separated as a function of treatments: males and females have been arranged in a completely randomized design. Except for feed conversion and feed efficiency (FE), there was no statistical difference in performance (P>0.05). Sex has exerted an effect in all carcass traits (P <0.05). In cost to taxes, personnel, depreciation, improvements and administration relatedcosts have not varied as a function of sex (P>0.05). The total cost of males was higher than the females' (P<0.05). Income and profitability did not vary (P<0.05). Males and females have the same performance when fed diets high grain, however females have better fat cover. Use of male and female high grain in feedlots are economically viable.

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Section: Resultsmentioning

confidence: 99%

Influence of sex on performance, carcass traits and economic feasibility of cattle fed high grain diets

et al. 2014

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“…Oliveira Neto and Figueiredo (2008) analyzed the live cattle hedging transactions in the futures market of the BM&F Goiás and found that the Myers and Thompson (1989) model was the most efficient, with a risk decrease of approximately 90%. Zilli et al (2008) estimated the optimal hedge ratio using the error correction mechanism (ECM) for daily, weekly, and monthly data and found that the optimal hedge ratio is very sensitive to the data frequency and that it presents better indexes when ECM is inserted into the estimation process, confirming that non-stationary series can provide erroneous estimates for the optimal hedge ratio when the cointegration relationships among the variables are not considered.…”

Section: Review Of the National Empirical Literature On Optimal Hedgementioning

confidence: 99%

“…These factors increase the variability of prices (volatility), determined by the impossibility of fixing the supply, creating an even greater need of anticipation or price insurance for future date, since this mechanism is driven essentially by information available in the physical market (spot), which makes that the information increases the price instability of non-storable commodities (OLIVEIRA NETO and FIGUEIREDO 2008).…”

Section: Introductionmentioning

confidence: 99%

A comparative study on different statistical models for calculating the optimal hedge ratio in the live cattle market

Pinho¹,

Junior²,

Camargos³

2017

OR&A

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Brazilian agribusiness has stood out in recent years for its efficiency and productivity growth, based on technology, planning, management of results, and continuous improvement of performance. In the live cattle market, the price oscillations show themselves as a risk that the producer has to minimize in order to ensure the success of his business. In this scenario, the futures market has been translated into an important hedging instrument, however, a confronting challenge is the identification of the production ratio that must be protected. Thus, this article aims to statistically compare the performance of six models for the calculation of the optimal hedge ratio in the Brazilian live cattle futures market: Ordinary least squares, BEKK, DCC by Tse and Tsui (2002), DCC by Engle and Sheppard (2001), time-varying beta correlations, and unconditional beta. The ratios were estimated for the log-returns of the daily and monthly price series of spot and futures live cattle, comprising the period from 10/2/2000 to 19/8/2014. It was noted that for the daily series, the contractual changes generate intertemporal breaks, resulting in the increased variance of the futures logreturns and the low optimal hedge ratio. For monthly series, it is concluded that the BEKK, followed by the unconditional beta are the best models when it comes to reduction of variance and maximization of the Sharpe ratio.

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“…Assim, seu entendimento ou previsão tornam-se fatores de fundamental importância para o hedger, principalmente para que este assuma suas posições nos diferentes mercados. Desta forma, segundo Silveira (2003), os agentes devem definir uma proporção de suas posições à vista que irão assumir no mercado futuro, minimizando, assim, os riscos inerentes às variações nos preços de sua carteira. Tal proporção é conhecida como razão de hedge de mínima variância.…”

Section: Razão De Hedge De Mínima Variânciaunclassified

Viabilidade de implantação de um contrato futuro de arroz no Brasil

Capitani¹

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Agradeço em primeiro lugar a Deus, por ter me concedido uma oportunidade única, me abençoado e me dado forças para que seguisse esta jornada. Também a meu anjo da guarda, pela proteção e companhia ao longo de todo o caminho. A meus pais, Luiz Roberto e Ana Maria, por todo o carinho, incentivo e amor, pelo suporte e educação que certamente possibilitaram todas estas conquistas, e por incentivarem e permitirem a busca por este sonho. Aos meus irmãos Caroline e Raphael, que sempre estiveram na torcida, pelo afeto, companhia e amizade, e pelos bons exemplos de vida que são. Aos meus familiares, em especial à Hercília e Maria Antônia, por toda a hospitalidade, ajuda e acolhimento. À minha companheira Alessandra, que pôde vivenciar passo a passo desta jornada, incentivando, motivando e concedendo-me dias mais alegres. Ao Professor Fabio Mattos, meus sinceros agradecimentos pela abertura de novas portas, pelo acompanhamento de cada passo deste trabalho, pela orientação e pronto atendimento sempre que necessário e por abrir minha mente a novos horizontes de pesquisa. Ao Professor João Gomes Martines Filho, pela orientação, pela amizade e por fornecer todas as condições necessárias para que este trabalho fosse realizado. À Professora Sílvia Miranda, por motivar o início desta pesquisa, por incentivar os estudos do setor orizícola, pelas muitas sugestões a este trabalho e pelos constantes conselhos e orientações. Aos Professores Pedro Marques, Lucilio Alves, Waldemar Souza e José César Cruz pela amizade, pelas sugestões ao longo deste trabalho e pela solícita atenção sempre que necessária. Aos professores e funcionários do Departamento de Economia, Administração e Sociologia da ESALQ, em especial aos Professores Joaquim Bento, Carlos Bacha, Mirian Bacchi, Evaristo Neves e Roberto Arruda, e à nossa querida Maielli. Ao Pecege/ESALQ, agradeço especialmente ao Daniel Sonoda, pelas oportunidades concedidas e por permitir a aproximação da vivência entre a docência e pesquisa. Aos colegas de doutorado e de todo o programa pós-graduação em Economia Aplicada, em especial aos amigos

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Análise das operações de cross hedge do bezerro e do hedge do boi gordo no mercado futuro da BM&F

Cited by 10 publications

References 2 publications

Influence of sex on performance, carcass traits and economic feasibility of cattle fed high grain diets

Influence of sex on performance, carcass traits and economic feasibility of cattle fed high grain diets

A comparative study on different statistical models for calculating the optimal hedge ratio in the live cattle market

Viabilidade de implantação de um contrato futuro de arroz no Brasil

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