Revista de Economia e Sociologia Rural
https://revistasober.org/article/doi/10.1590/1806-9479.2021.250643
Revista de Economia e Sociologia Rural
ORIGINAL ARTICLE

Impacts of El Niño southern oscillation on hedge strategies for Brazilian corn and soybean futures contracts1

El Niño Oscilação Sul, razão de preços soja-milho e estratégia de hedge

George Lucas Máximo Ferreira; Julyerme Matheus Tonin; Alexandre Florindo Alves

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Abstract

Abstract: Climate influences the variations in soybean and corn prices; thus, we assessed the relationship between the El Niño Southern Oscillation (ENSO) with soybean-to-corn price ratio to determine potential impacts on price risk management. The commercial areas of Passo Fundo (RS), Cascavel (PR), Maringá (PR), Uberlândia (Triângulo Mineiro), and Sorriso (MT) covered in the study were chosen according to the MAPA edaphoclimatic classification. To estimate the effectiveness and optimal hedge ratio, the static and generalized model by Myers and Thompson (1989), adapted by Lien and Tse (2000), was used to include the cointegration approach in the analysis. The innovation of this study is the inclusion of the climate variable ENSO in this hedging approach. The findings showed that ENSO, especially La Niña, affects soybean-to-corn price ratio and hedge strategies. These results highlight the need to expand the use of futures contracts to reduce the price risk during the occurrence of ENSO events.

Keywords

soybean, corn, effectiveness, optimal hedge ratio, cross hedge

Resumo

Resumo:: O clima influencia as variações nos preços da soja e do milho. Assim, avaliamos a relação entre a variável climática Oscilação Sul do El Niño (ENSO) com a razão de preços entre soja e milho para identificar os possíveis impactos no gerenciamento de riscos de preços. As regiões de comercialização de Passo Fundo (RS), Cascavel (PR), Maringá (PR), Uberlândia (Triângulo Mineiro) e Sorriso (MT) abordadas no estudo foram escolhidas de acordo com a classificação edafoclimática do MAPA. Para a estimação da efetividade e razão ótima de hedge, foi utilizado o modelo estático e generalizado de Myers e Thompson (1989) adaptado por Lien e Tse (2000) para incluir na análise a abordagem de cointegração. A inovação desse estudo é a inclusão da variável climática ENSO nessa abordagem de hedge. Os achados da pesquisa demonstram que a ocorrência do ENSO, especialmente a La Nina, exerce influência na razão de preços soja e milho e nas estratégias de hedge. Tal fato destaca a necessidade de ampliar a utilização de contratos futuros para reduzir o risco de preços principalmente na ocorrência de eventos climáticos extremos.
 

Palavras-chave

soja, milho, efetividade, razão ótima de hedge, cross hedge

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Submetido em:
03/04/2021

Aceito em:
05/07/2021

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