Uma cadeia produtiva mais integrada? A utilização do hedge dinâmico na oscilação dos preços diários da cadeia produtiva da carne suína

Recent work has shown a lack of integration between the producer and retail markets in the pork production chain. Asolution to alleviate this obstacle could be performed through the dynamic hedging strategy with the Garch-DCC model, which would allow the management of daily buying and selling decisions. In this sense, the objective of the study was to verify if the model contributes efficiently to the daily price adjustments between the markets in comparison to the linear regression model, providing subsidies to producers to protect themselves from the price oscillations in the chain, reducing the risk against significant changes in prices. In order to do that, the period from 01/03/2011 to 08/27/2015 was analyzed, in which 1,156 observations were extracted for analysis. As a result, the hedge strategy for the Garch-DCC model presents better performance in comparison to the one performed by Linear Regression in reducing market oscillations. With this, this paper found an opening for the integration in the perceptions and the negotiation processes of this market in analysis.

已有研究表明，猪肉产业链中生产商市场与零售市场之间存在整合不足的问题。通过采用GARCH-DCC模型（Garch-DCC）的动态套期保值策略，可缓解这一困境，该策略能够辅助开展日常买卖决策的管理。据此，本研究的目标在于验证：相较于线性回归模型，该模型能否有效助力市场间的日常价格调整，为生产商提供避险支撑以规避产业链内的价格波动，降低价格大幅变动带来的风险。为此，本研究选取2011年1月3日至2015年8月27日的时段进行分析，共提取1156组观测值用于研究。结果显示，相较于线性回归模型对应的套期保值策略，GARCH-DCC模型的套期保值策略在平抑市场波动方面表现更优。据此，本研究发现，本次分析所涉及的猪肉市场，其认知与交易流程存在整合空间。