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

Abstract

The production and commercialization of soybeans occur in an environment where prices are shaped by a complex and volatile international market, influenced by a variety of factors beyond purely economic ones, such as climate changes. This makes risk management imperative for such activities. In this context, the present study explored the effectiveness and optimal hedging ratio of soybean prices using the new FOB Santos soybean futures contract, launched by B3 in November 2021, for Sorriso (MT) and Rio Verde (GO). The aim was to evaluate the performance of this price risk management mechanism in two prominent soybean-producing regions. To achieve this objective, the analyses included stationarity and cointegration tests of the series, and the main estimation was conducted using Ordinary Least Squares (OLS) in five empirical models. The results indicated similar levels of hedge effectiveness and protection for the two localities studied, although at relatively low levels compared to studies conducted on other futures contracts.