GESTÃO DE RISCO NO MERCADO DE SOJA: UMA ANÁLISE DA RAZÃO ÓTIMA DE HEDGE EM PARANAGUÁ ENTRE JANEIRO DE 2007 À MAIO DE 2017

Abstract

Agribusiness is an activity that has its own characteristics such as: weather, ideal planting conditions, storage capacity, soil, national and international supply and demand, which can contribute to unexpected prices fluctuations in soybean. These characteristics bring challenges that require an increasingly professional risk management, since they are components of risk in making price fluctuations, and should be considered in decision making, since the exposure of the soybeans to these factors can make negative impacts on farmers, industries and also to consumers. Through hedge, these agents can do risk management, in order to minimize the possible loss on their operation. Specifically for soybeans, the stock exchange used by most agents in Brazil and the world for the hedge operation is the CME (Commercial Mercantil Exchange). However, the prices of the stock exchange do not correspond exactly to the prices traded in the inland Brazilian market. In this context, it is necessary for hedgers¸ to estimate the optimal hedge ratio, to define the proportion of the spot market that will have its result offset in equal proportion in the future market. In addition, this ratio will provide the correct use of derivative contracts that are to trade at CME. Using contracts over what is necessary can increase the costs of this transaction, and lower than ideal numbers can expose soybeans to negative results. In this context, the objective of the present study is to estimate, through the model of minimum variance proposed by Hull (2016), the optimal hedge ratio and the ideal number of futures contracts for the hedge operations with daily soybean maturity in Paranaguá, state of Paraná, based on the historical series of daily prices from January 2007 to May 2017. This city constitutes the reference for price formation in Brazil, having a great relevance in the national scenario. For this, the prices on the spot market of soybean at Paranaguá were collected through the indication of Cepea/Esalq, and the futures prices at CME stock through the software Bloomberg for the estimations. As result of this survey, it was found that the optimum soybean hedge ratio for daily operations in Paranaguá was 51.49%, which is the volume that the producers or risk managers of the companies should trade in the spot market, to be compensated by future market at CME stock exchange in equal proportion. It was also estimated at the end of the study that for each 1,000 tons of soybeans on the spot market, 4 futures contracts should be traded on this exchange stock.