摘要：This article aims to examine the relationship between futures and spot corn prices in the Maringá area. In order to verify the relationship among prices, the Granger test of causality was used and also the co-integration test it was used to evaluate if a relationship long term exists among those two variables. The hedge effectiveness and the optimal hedge ratio was made calculations to the hedgers in the Maringá area. The data was period of November, 1996 to November, 2007. A bi-causal relationship was verified between the analyzed series and the existence of a relationship of long term between variables. It was also confirmed that the hedge effectiveness is low in that area although it is a viable mechanism, to guarantee to participants of the chain of the corn minor risks and losses.
其他摘要：This article aims to examine the relationship between futures andspot corn prices in the Maringá area. In order to verify the relationship amongprices, the Granger test of causality was used and also the co-integration test itwas used to evaluate if a relationship long term exists among those two variables.The hedge effectiveness and the optimal hedge ratio was made calculations to the hedgers in the Maringá area. The data was period of November, 1996 toNovember, 2007. A bi-causal relationship was verified between the analyzedseries and the existence of a relationship of long term between variables. It wasalso confirmed that the hedge effectiveness is low in that area although it is aviable mechanism, to guarantee to participants of the chain of the corn minorrisks and losses.
关键词：mercados futuros; razão ótima; efetividade de hedge.
