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The poultry industry bears price risk for which the analysis and mitigation are relevant steps to the efficient management of production units, allowing a more efficient allocation of resources. However a specific futures contract for the Brazilian poultry industry in the futures market does not exist, although there is a futures contract for corn is BM&F-BOVESPA. Given the significant cross participation among the poultry and corn industries in Brazil, it is worth asking if the poultry price risk can be neutralized with the domestic corn futures, analyzing the efficiency of the use of corn futures contracts traded on BM&F-BOVESPA in cross-hedge operations of the poultry price risk. The research question addressed is: corn futures contracts traded on the BM & F BOVESPA, provide efficient mitigation of price risk for the national poultry industry. The survey questions are: i. what are the statistical properties of poultry spot prices and corn futures time series of, ii. how to get different cross-hedging levels of poultry prices and corn using alternative models of hedging: minimum-variance, no hedge, total hedge (naive) and dynamic, and, iii. what are the cross-hedge effectiveness obtained through the use of the various models. The low effectiveness of these operations in different contexts and hedge portfolio: fine, full, dynamic is observed. The results can be attributed to different microeconomic structures, such as the low correlation between the price series due to the specificities in both industries, seasonality, marketing and pricing procedures in both markets. However, the strong market signals economic and financial potential for the introduction of a poultry future contract in Brazil.

A Eficiência de Cross-hedge do Risco de Preço de Frangos com o Uso de Contratos Futuros de Milho da BM&F-BOVESPA