Using forward indicators of rate and exchange for risk management in agriculture

The article substantiates the need to use consensus forecasts of the key rate and exchange rate for dynamic management of interest rate and currency risks of agricultural organisations. Agricultural producers, especially exporters of grain and oilseeds, face high volatility in the cost of loans and ruble revenue. Traditional approaches based on current values of the rate and exchange rate do not account for structural shifts caused by sanctions shocks and changes in monetary policy. The purpose of the study is to develop a methodology for optimising the loan portfolio structure (choice between fixed and floating rates) and a strategy for currency risk hedging based on adaptive forecasts. Methods: econometric time series modelling, a rolling window for parameter re-estimation, the Chow test for identifying structural breaks, and a methodology for combining official and market forecasts. Results: an algorithm for calculating the optimal share of fixed-rate loans is proposed, taking into account the expected trajectory of the key rate and its volatility. A strategy for synthetic currency risk hedging through correlated commodity futures is developed, applicable when the forward market has limited liquidity (relevant for the rouble during the sanctions period). Conclusions and significance: applying the methodology makes it possible to reduce the expected cost of the loan portfolio by 5-8% and the volatility of foreign exchange revenue by 15-20% compared with traditional management based on current values. The results can be used by the financial services of agricultural organisations and by regional agricultural authorities in monitoring financial risks. The scientific novelty lies in adapting structural-break forecasting methods to the specifics of the agricultural sector.

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