Efetividade e razão ótima do hedge de soja em grão com o contrato futuro de soja FOB Santos: uma análise para Sorriso (MT) e Rio Verde (GO)

Abstract

The production and marketing of soybeans unfold in an environment where prices are shaped by a complex and volatile international market, influenced by various factors beyond purely economic ones, such as climate change. This makes risk management imperative for this activity. In this context, the present study explored the effectiveness and optimal hedging ratio of soybeans through the new FOB Santos soybean futures contract launched by B3 in November 2021, specifically for Sorriso (MT) and Rio Verde (GO). The aim was to assess the performance of this price risk management mechanism in two locations that are prominent in soybean production. To achieve this objective, historical series of soybean trading prices in both physical and futures markets were utilized. The analyses included checking for stationarity and cointegration of the series, and the main estimation was carried out using Ordinary Least Squares (OLS) in five empirically defined models to reduce the price variability of the product being protected. Similar results in terms of effectiveness and hedge protection were observed between the two studied locations, albeit at relatively low levels compared to studies conducted for other futures contracts.