Custos de frete na cadeia do milho e da soja em Mato Grosso : razão ótima e efetividade de cross hedge com derivativos no mercado futuro

Abstract

The objective of this study was to estimate the optimal ratio and effectiveness of the cross hedge between the grain freight and diesel fuel spot prices with the WTI and Brent Oil Futures quotations. The research has a descriptive characteristic with a quantitative approach to the data, using simple linear regression via Ordinary Least Squares method to calculate the regressive estimators. Was used the weekly price series of grain freight prices provided by the Mato Grosso Institute of Agricultural Economics, the weekly price series of S10 diesel oil provided by the National Agency of Petroleum, Natural Gas and Biofuels (ANP), and the daily prices series of oil derivatives provided by the U.S. Energy Information Administration (EIA), for the period 2020 to 2023. For the freight price protection using the WTI and Brent Oil derivatives, the optimal hedge ratio were obtained, respectively, of 0.4373 and 0.4240 barrel for each ton of grain, and an effectiveness, respectively, of 0.2626 and 0.2912. For the mitigation of fuel price risks using the WTI and Brent oil derivatives, the optimal hedge ratio were obtained, respectively, of 0.0101 and 0.0097 barrel for each liter of fuel, and a hedge effectiveness of 0.7997 and 0.8236, respectively. The residual scatter plots indicated heterocedasticity in the linear regression, suggesting the need for additional variables to explain the behavior of grain freight and diesel fuel prices.