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

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

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Revista de Economia e Sociologia Rural

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Article • Rev. Econ. Sociol. Rural 60 (spe) • 2022 • https://doi.org/10.1590/1806-9479.2021.250643 copiar

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

Autoria SCIMAGO INSTITUTIONS RANKINGS

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

Sea surface temperature (SST) anomalies	Nino 3.4 Index	Classification
$S S T \geq 0.5 ° C$	$\{\begin{matrix} i f N i n o 3.4 \geq 0.5 ° C = 1 \\ o t h e r w i s e = 0 \end{matrix}$	El Niño (EN)
$S S T \leq - 0.5 ° C$	$\{\begin{matrix} i f N i n o 3.4 \leq - 0.5 ° C = 1; \\ o t h e r w i s e = 0 \end{matrix}$	La Niña (LN)
$- 0.5 ° C \leq S S T \leq 0.5 ° C$	$\{\begin{matrix} i f - 0.5 ° C \leq N i n o 3.4 \leq 0.5 ° C = 1; \\ o t h e r w i s e = 0 v \end{matrix}$	Neutral state (N)
Climate Interaction Operator	$\{\begin{matrix} E N = 1; \\ N e u t r a l = 0; \\ L N = 2 \end{matrix}$	ENSO

Panel A1) DF-GLS Unit Root test for the corn market
Statistics			$C O R N_{p f}$			$C O R N_{c s v e l}$			$C O R N_{m g a}$	$C O R N_{t m}$			$C O R N_{s o r r}$				$C O R N_{B 3}$				$C O R N_{C M E}$
Level
$τ_{τ}$			-1.846			-0.826			-0.756	-0.321			-0.346				0.230				0.105
Lags			2			1			1	2			2				1				1
			1st Difference
$τ_{μ}$			-8.179			-6.964			-6.851	-6.619			-5.529				-6468				-6.272
Lags			1			1			1	9			1				2				1
Panel A2) DF-GLS Unit Root test for the soybean market
Statistics			$S O Y B E A N_{p f}$			$S O Y B E A N_{c s v e l}$			$S O Y B E A N_{m g a}$	$S O Y B E A N_{t m}$			$S O Y B E A N_{s o r r}$				$S O Y B E A N_{B 3}$				$S O Y B E A N_{C M E}$
Level			Level
$τ_{τ}$			0.587			0.064			0.067	0.537			0.871				1.317				-5.729
Lags			2			2			2	3			3				1				1
1st Difference			1st Difference
$τ_{μ}$			-7.194			-7.193			-7.189	-7.282			-6.717				-6.589				-7.629
Lags			3			2			1	2			2				3				1
Panel B) Johansen’s cointegration test for corn
$C O R N_{B 3}$
Statistics		rank			$C O R N_{p f}$			$C O R N_{c s v e l}$				$C O R N_{m g a}$			$C O R N_{t m}$					$C O R N_{s o r r}$
λ trace		r=0			191.38			162.75				157.70			114.60					69.32
λ trace		r<1			3.16***			4.65***				4.36***			3.95***					4.97***
λ max		r=0			188.21			158.10				153.34			110.64					64.34
λ max		r<1			3.16			4.65				4.36			3.95					4.97
$C O R N_{C M E}$
Statistics		rank			CORNpf			CORNcsvel				CORNmga				CORNtm			CORNsorr
λ trace		r=0			27.84			17.05***				17.35***				16.97***			14.00***
λ trace		r<1			2.85***			3.40				3.35				3.53			3.66
λ max		r=0			24.98			13.65				13.99				13.43			10.34
λ max		r<1			2.85			3.40				3.35				3.53			3.66
$S O Y B E A N_{C M E}$
Statistics		rank			CORNpf			CORNcsvel				CORNmga				CORNtm			CORNsorr
λ trace		r=0			53.92			38.48				36.97				62.92			44.07
λ trace		r<1			2.82***			2.85***				2.78***				2.85***			2.95***
λ max		r=0			51.09			35.63				34.18				60.07			41.11
λ max		r<1			2.82			2.85				2.78				2.85			2.95
Panel C) Johansen’s cointegration test for soybean
$C O R N_{B 3}$
Statistics	rank			$S O Y B E A N_{p f}$			$S O Y B E A N_{c s v e l}$				$S O Y B E A N_{m g a}$			$S O Y B E A N_{t m}$				$S O Y B E A N_{s o r r}$
λ trace	r=0			14.23***			14.89***				14.93***			15.97***				17.44***
λ trace	r<1			2.47			2.52				2.43			2.73				2.53
λ max	r=0			11.75			12.36				12.49			13.23				14.90
λ max	r<1			2.47			2.52				2.43			2.73				2.53
$C O R N_{C M E}$
Statistics	rank			$S O Y B E A N_{p f}$			$S O Y B E A N_{c s v e l}$				$S O Y B E A N_{m g a}$			$S O Y B E A N_{t m}$				$S O Y B E A N_{s o r r}$
λ trace	r=0			22.26***			17.29***				17.46***			19.28***				18.93***
λ trace	r<1			2.92**			2.88				2.78			3,03				3.09
λ max	r=0			19.34			14.40				14.67			16.88				15.84
λ max	r<1			2.92			2.8				2.78			3.03				3.09
$S O Y B E A N_{C M E}$
Statistics	rank			$S O Y B E A N_{p f}$			$S O Y B E A N_{c s v e l}$				$S O Y B E A N_{m g a}$			$S O Y B E A N_{t m}$				$S O Y B E A N_{s o r r}$
λ trace	r=0			53.92			38.48				36.97			62.92				44.07
λ trace	r<1			2.82***			2.85***				2.78***			2.85***				2.95***
λ max	r=0			51.09			35.63				34.18			60.07				41.11
λ max	r<1			2.82			2.85				2.78			2.85				2.95

Variables/Models	$S T C_{p f}$		$S T C_{c s v e l}$		$S T C_{m g a}$		$S T C_{t m}$		$S T C_{s o r r}$
Variables/Models	NC	C	NC	C	NC	C	NC	C	NC	C
Nino34	0.12***	-	0.08**	-	0.10***	-	0.09***	-	0.35***	-
EN	-	0.13***	-	0.07*	-	0.06	-	0.04	-	0.24***
N	-	0.06	-	0.14	-	0.08	-	0.09	-	0.50***
LN	-	0.12***	-	0.15***	-	0.13**	-	0.18***	-	0.51***
PREC	-0.00	-0.00	-0.00	0.00	-0.00	-0.00	-0.00***	-0.00***	-0.00	-0.00
TEMP	-0.00	-0.00	-0.00	-0.00	-0.00	-0.00	-0.03***	-0.03***	0.08***	0.08***
DOLcpa	0.00***	0.11***	0.14***	0.01***	0.12***	0.14***	0.06**	0.07***	-0.00	-0.01
Constant	1.91***	1.92	2.16***	2.17	2.19***	2.15	3.22***	3.16	0.29	0.28
R²-Adj.	0.094	0.093	0.072	0.073	0.074	0.070	0.112	0.116	0.10	0.103

Panel A) Results of effectiveness and OHR using spot prices for corn and future corn prices (B3).
Variables/Models	$C O R N_{B 3}$
	$C O R N_{p f}$				$C O R N_{c s v e l}$						$C O R N_{m g a}$					$C O R N_{t m}$				$C O R N_{s o r r}$
	NC		C		NC			C			NC			C		NC		C		NC		C
Nino34	0.08***		-		0.32***			-			0.33***			-		0.23***		-		0.32***		-
$h^{*} \{\begin{matrix} E N \\ N \\ L N \end{matrix}$	-		0.06**		-			0.24***			-			0.25***		-		0.12**		-		0.32**
	-		0.09***		-			0.36***			-			0.38***		-		0.28***		-		0.28***
	-		0.11***		-			0.32***			-			0.33***		-		0.25***		-		0.43***
${CORN}_{i, t - 1}$	0.38***		0.38***		0.15***			0.15***			0.08**			0.08**		-0.04		-0.04		-0.03		-0.03
${CORN}_{i, t - 2}$	0.15***		0.15***		0.01			0.01			-0.00			-0.00		0.12***		0.12***		0.08**		0.08**
${CORN}_{i, t - 3}$	-0.00		-0.00		-0.02			-0.01			0.00			0.01		0.03		0.04		-0.00		-0.00
${CORN}_{B 3, t - 1}$	0.07***		0.07***		0.25***			0.25***			0.28***			0.28***		0.26***		0.26***		0.26***		0.26***
${CORN}_{B 3, t - 2}$	0.09***		0.09***		0.15***			0.15***			0.18***			0.18***		0.20***		0.19***		0.30***		0.30***
Constant	0.00		0.00		0.00			0.00			0.00			0.00		0.00		0.00		0.00		0.00
$e$	0.438		0.438		0.363			0.365			0.326			0.328		0.199		0.202		0.104		0.103
Panel B) Results of effectiveness and optimal hedge ratio using spot prices for corn and future corn prices (CME).
Variables/Models		$C O R N_{C M E}$
		$C O R N_{p f}$				$C O R N_{c s v e l}$						$C O R N_{m g a}$				$C O R N_{t m}$					$C O R N_{s o r r}$
		NC		C		NC			C			NC		C		NC			C		NC		C
Nino34		0.05***		-		0.16***			-			0.18***		-		0.12***			-		0.33***		-
$h^{*} \{\begin{matrix} E N \\ N \\ L N \end{matrix}$		-		0.08***		-			0.15***			-		0.18***		-			0.07		-		0.33***
		-		0.04**		-			0.14***			-		0.16***		-			0.14***		-		0.31***
		-		0.04		-			0.28***			-		0.30***		-			0.12*		-		0.41***
${CORN}_{i, t - 1}$		0.44***		0.44***		0.30***			0.31***			0.22***		0.23***		0.05			0.05		0.00		0.00
${CORN}_{i, t - 2}$		0.16***		0.16***		0.02			0.02			0.02		0.02		0.16***			0.16***		0.07**		0.07**
${CORN}_{CME, t - 1}$		0.05***		0.05***		0.13***			0.13***			0.14***		0.14***		0.08**			0.09**		0.11**		0.11**
${CORN}_{CME, t - 2}$		0.05***		0.05***		0.06**			0.06**			0.07**		0.07**		0.06**			0.06**		0.22***		0.22***
constant		0.00		0.00		0.00			-0.00			0.00		0.00		0.00			0.00		0.00		0.00
e		0.374		0.373		0.225			0.227			0.189		0.191		0.074			0.073		0.097		0.095
Panel C) Results of calculations of effectiveness and optimal ratio of cross hedge using the spot prices of corn and soybean futures (CME).
Variables/Models		$S O Y B E A N_{C M E}$
		$C O R N_{p f}$					$C O R N_{c s v e l}$						$C O R N_{m g a}$				$C O R N_{t m}$				$C O R N_{s o r r}$
		NC		C			NC			C			NC		C		NC		C		NC			C
Nino34		0.06***		-			0.18***			-			0.21***		-		0.10		-		0.37***			-
$h^{*} \{\begin{matrix} E N \\ N \\ L N \end{matrix}$		-		0.05*			-			0.10*			-		0.13**		-		0.03		-			0.35**
		-		0.05**			-			0.18***			-		0.21***		-		0.13*		-			0.39***
		-		0.09**			-			0.29***			-		0.32***		-		0.15*		-			0.35**
${CORN}_{i, t - 1}$		0.44***		0.44***			0.33***			0.33***			0.25***		0.25***		0.05		0.05		0.02			0.02
${CORN}_{i, t - 2}$		0.15***		0.15***			0.01			0.02			0.02		0.02		0.16***		0.16***		0.09**			0.09**
${SOY}_{CME, t - 1}$		0.06***		0.06***			0.11***			0.11***			0.13***		0.13***		0.10**		0.10**		0.06			0.06
${SOY}_{CME, t - 2}$		0.05***		0.05***			0.04			0.04			0.05		0.05		0.08**		0.08**		0.22***			0.22***
constant		0.00		0.00			0.00			0.00			0.00		0.00		0.00		0.00		0.00			0.00
e		0.371		0.371			0.201			0.204			0.166		0.169		0.067		0.067		0.082			0.081

Panel A: Results of effectiveness and optimal hedge ratio using spot prices of corn and soybean futures (CME).
Variables/Models		$S O Y B E A N_{C M E}$
		$S O Y B E A N_{p f}$					$S O Y B E A N_{c s v e l}$						$S O Y B E A N_{m g a}$						$S O Y B E A N_{t m}$						$S O Y B E A N_{s o r r}$
		NC		C			NC			C			NC			C			NC			C			NC			C
Nino34		0.54***		-			0.56***			-			0.58***			-			0.41***			-			0.61***			-
$h^{*} \{\begin{matrix} E N \\ N \\ L N \end{matrix}$		-		0.45***			-			0.50***			-			0.51***			-			0.41***			-			0.54***
		-		0.48***			-			0.57***			-			0.58***			-			0.42***			-			0.62***
		-		0.65***			-			0.65***			-			0.67***			-			0.40***			-			0.69***
${SOY}_{i, t - 1}$		0.00		0.00			-0.06			-0.06*			-0.06**			-0.06**			-0.18***			-0.18***			-0.25***			-0.25***
${SOY}_{i, t - 2}$		0.00		0.00			0.03			0.02			0.04			0.04			0.02			0.02			-0.00			-0.00
${SOY}_{CME, t - 1}$		0.17***		0.17***			0.16***			0.17***			0.16***			0.16***			0.26***			0.26***			0.35***			0.35***
${SOY}_{CME, t - 2}$		0.06**		0.06**			0.03			0.03			0.02			0.02			0.11***			0.11***			0.14***			0.14***
Constant		0.01		0.01			0.03			0.03			0.03			0.03			0.03			0.03			0.04			0.04**
e		0.469		0.477			0.488			0.490			0.503			0.506			0.350			0.348			0.407			0.408
Panel B: Results of hedge effectiveness and optimal hedge ratio using spot prices for soybean and futures corn prices (B3).
Variables/Models	$S O Y B E A N_{B 3}$
	$S O Y B E A N_{p f}$				$S O Y B E A N_{c s v e l}$						$S O Y B E A N_{m g a}$						$S O Y B E A N_{t m}$						$S O Y B E A N_{s o r r}$
	NC		C		NC			C			NC			C			NC			C			NC			C
Nino34	0.21***		-		0.22***			-			0.24***			-			0.16***			-			0.25***			-
$h^{*} \{\begin{matrix} E N \\ N \\ L N \end{matrix}$	-		0.19***		-			0.24***			-			0.26***			-			0.19***			-			0.30***
	-		0.18***		-			0.19***			-			0.20***			-			0.15***			-			0.21***
	-		0.30***		-			0.27***			-			0.27***			-			0.16***			-			0.27***
${SOY}_{i, t - 1}$	0.07**		0.08**		-0.03			-0.02			-0.03			-0.03			-0.07**			-0.07**			-0.13***			-0.13***
${SOY}_{i, t - 2}$	0.02		0.02		0.03			0.02			0.03			0.03			0.04			0.04			0.05			0.05
${SOY}_{i, t - 3}$	-0.00		-0.00		0.05			0.05			0.05			0.05			0.07**			0.07			0.09**			0.09**
${SOY}_{B 3, t - 1}$	0.02		0.02		0.05**			0.05**			0.04			0.04			0.08**			0.08**			0.05*			0.06*
${SOY}_{B 3, t - 2}$	0.03		0.03		0.04*			0.04*			0.04*			0.04***			0.03			0.03			0.07**			0.08**
cons	0.00		0.00		0.01*			0.01*			0.01			0.01			0.01			0.01			0.03			0.04
e	0.113		0.115		0.107			0.107			0.112			0.112			0.080			0.078			0.105			0.104
Panel C: Results of effectiveness and optimal hedge ratio of cross hedge using the spot prices of soybean and future corn prices (CME).
Variables/Models	$C O R N_{C M E}$
	SOYBEAN pf					SOYBEANcsvel						SOYBEANmga						SOYBEANtm						SOYBEANsorr
	NC		C			NC			C			NC			C			NC			C			NC			C
Nino34	0.25***		-			0.29***			-			0.30***			-			0.22***			-			0.31***			-
$h^{*} \{\begin{matrix} E N \\ N \\ L N \end{matrix}$	-		0.29***			-			0.34***			-			0.35***			-			0.27***			-			0.40***
	-		0.21***			-			0.26***			-			0.27***			-			0.20***			-			0.28***
	-		0.33***			-			0.32***			-			0.33***			-			0.16**			-			0.31***
${SOY}_{i, t - 1}$	0.05		0.06*			-0.02			-0.02			-0.03			-0.03			-0.08**			-0.08**			-0.12***			-0.12***
${SOY}_{i, t - 2}$	0.01		0.02			0.03			0.03			0.02			0.03			0.04			0.05			0.05			0.05
${CORN}_{CME, t - 1}$	0.10***		0.11***			0.11***			0.11***			0.11***			0.10***			0.11***			0.11***			0.19***			0.18***
${CORN}_{CME, t - 2}$	0.05**		0.05**			0.03			0.03			0.04*			0.04*			0.06**			0.06**			0.04			0.04
constant	0.01**		0.00*			0.02**			0.02**			0.01**			0.01**			0.02			0.02			0.02			0.02
e	0.199		0.203			0.203			0.204			0.212			0.212			0.159			0.160			0.173			0.174

Sociedade Brasileira de Economia e Sociologia Rural Av. W/3 Norte, Quadra 702 Ed. Brasília Rádio Center Salas 1049-1050, 70719 900 Brasília DF Brasil, - Brasília - DF - Brazil
E-mail: sober@sober.org.br

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[1] Fonte: Adapted from Minaki & Montanher (2019)Minaki, C., & Montanher, O. C. (2019). Influência do El Niño-Oscilação Sul na precipitação em Maringá-PR, no período de 1980 a 2016. Caminhos de Geografia, 20(69), 266-281. https://doi.org/10.14393/RCG206941220
https://doi.org/10.14393/RCG206941220...