Impacts of El Niño southern oscillation on hedge strategies for Brazilian corn and soybean futures contracts
Bibliographic Data
| ID | 4011087 |
|---|---|
| Authors | George Lucas Máximo Ferreira (0000-0003-4730-8056, Universidade Estadual de Maringá), Julyerme Matheus Tonin (0000-0002-1176-8977, Universidade Estadual de Maringá), Alexandre Florindo Alves (0000-0003-4640-6543, Universidade Estadual de Maringá, corresponding author) |
| Year | 2022 |
| Volume | 60 |
| Issue | spe |
| Publication date | 2022-01-01 |
| Peer Reviewed | Yes |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | Revista de Economia e Sociologia Rural (JOURNAL) |
| Journal identifiers | ISSN: 0103-2003 • E-ISSN: 1806-9479 |
| Publisher | FapUNIFESP (SciELO) (PUBLISHER) |
| DOI | 10.1590/1806-9479.2021.250643 |
| OpenAlex | W4226409914 |
| SCIELO_PID | S0103-20032022000500201 |
| Language | EN |
| References cited | 32 |
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
Agribusiness · Agricultural science · Agriculture · Biology · Climatology · Cointegration · Econometrics · Economics · El Niño Southern Oscillation · Financial economics · Futures contract · Geography · Hedge · Price risk · Agricultural risk and resilience · Environmental Science · Market Dynamics and Volatility · Monetary Policy and Economic Impact
Distribution of the Estimators for Autoregressive Time Series With a Unit Root
Efficient Tests for an Autoregressive Unit Root
Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
Distribution of the Estimators for Autoregressive Time Series with a Unit Root
The Enso Effect and Asymmetries in Wheat Price Dynamics
Statistical analysis of cointegration vectors
| Citation velocity | historical |
|---|---|
| Highly cited | No |