摘要：O presente trabalho busca calcular a base e o risco de base, razão ótima e eficiência do hedge da soja brasileira comercializada através dos contratos da Bolsa de Mercadorias e Futuros (BMF) e contrato de soja Latino-Americana da Chicago Board of Trade (SA-CBOT) e contrato de soja da Chicago Board of Trade (CBOT). O valor médio da base e o risco de base foram calculados na semana de vencimento dos 50 contratos considerados no periodo entre janeiro de 2005 a julho de 2007. O método adotado no cálculo da base é está em acordo com Hull (2005); o risco de base e a efetividade de hedge são propostos por Silveira (2002); Myers; Thompson (1989) estabelecem a motodologia para o cálculo da razão ótima. Do procedimento adotado neste, foram possivel observar os seguintes resultados: i) os menores valores médios da base foram em Paranaguá (em todas as bolsas). ii) apesar de possuir os menores valores médios de base, a CBOT apresentou maior risco de base que a BMF. Tanto o Mercado Futuro de soja da BMF quanto o mercado da CBOT, mostraram-se eficientes. Porém, não foi possível afirmar com precisão que o mercado futuro SA-CBOT é eficiente. A razão de hedge mostrou-se elevada, variando entre 87,20% - 64,77% (para BMF). A razão de hegde da soja em Illinois apresentou-se consideravelmente maior que as demais quando comercializada na CBOT. Conclui-se assim, que sojicultores brasileiros possuem, de maneira geral, melhor instrumento de proteção ao risco de preço quando comercializam na BMF.
其他摘要：This dissertation analyses the hedge soybeans operations by using BMF and CBOT`s contracts, and considering Paranagua (PR), Sorriso (MT), Barreiras (BA) and Cascavel (PR). Initially, it was calculated the basis risk from the hedge operations in the ending week of each contract. It was considered transactions between BMF, CBOT and SA-CBOT (South America Soybeans Contract). It was also calculated the optimal hedge ratio by Myers; Thompson (1989) methodology. During January 2005 and July 2007, these exchanges had commercialized 50 contracts. this paper reaches the following results: i) the lower basis’ average was in Paranagua (considering all stock exchanges); ii) CBOT had smaller basis’ average but greater basis’ risk then BMF. On the second step of this analysis, both BMF and CBOT were considered efficient. However, the same result was not observed on SA-CBOT, which wasn’t possible to precise about its efficiency. The optimal hedge ratio (OHR) was high to BMF (87.20% - 64.77%). The OHR to Illinois was the greatest, 93.41% when commercialized with CBOT. This number is consistent with Dorfman; Sanders (2006). However, CBOT presents lower OHR whenever we consider the Brazilians places in this study (55.88% - 35.7%). We conclude that Brazilians soybeans’ farmers which want to protect against price in future market have a better tool by commercializing with BMF that CBOT or SA-CBOT.
