Razão ótima e efetividade do hedge com uso do contrato futuro da B3 para o boi gordo do período de 2022 a 2023

Abstract

The production and commercialization of Boi Gordo takes place in a context in which prices are determined by a complex and volatile international market, therefore, risk management becomes essential for this activity. In view of this, this work addresses the relationship between the Fat Ox commodity in the spot market traded in Bahia, Salvador, with the Boi Gordo futures contract, traded in several over-the-counter contracts on B3. The work presents the study of the optimal ratio and effectiveness of the hedge, in the period from 01/11/2022 to 03/29/2023, with the objective of mitigating the risk on the part of the cattle rancher. Estimations were carried out by OLS (Ordinary Least Squares) of three empirical regression models, respectively, with data in level, logarithm and logarithm in the first difference with six lags in the explanatory variable. For the three estimated models, an optimal hedge ratio between 3.5% and 3.7% was obtained, and effectiveness varying between 3.1% and 1.7%. The work also ranges from explaining the economic situation of the Boi Gordo market to its eventual cycles.