文章基本信息

标题：THE DYNAMIC HEDGING EFFECTIVENESS FOR SOYBEAN FARMERS OF MATO GROSSO WITH FUTURES CONTRACTS OF BM&F
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作者：Rocha, Waldemar Antonio da ; Caldarelli, Carlos Eduardo ; Reis, Ricardo Pereira 等
期刊名称：Journal of Agribusiness
印刷版ISSN：0738-8950
出版年度：2010
页码：34-45
出版社：Journal of Agribusiness
摘要：Dynamic hedging effectiveness for soybean farmers in Rondonópolis (MT) with futures contracts of BM&F 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.
关键词：dynamic hedge;minimum variance;soybeans;Mato Grosso