Effectiveness analysis of statics and dynamics hedge strategies for Brazilian arabian coffee market / Análise da efetividade das estratégias estáticas e dinâmicas de hedge para o mercado brasileiro de café arábica

AUTOR(ES)
DATA DE PUBLICAÇÃO

2007

RESUMO

This work was the purpose of analyzing the hedge strategies effectiveness, in terms of risks reduction to the arabian coffee market, with the futures markets use. It was observed, a priori, that arabian coffee is among the most risky products of the Brazilian agribusiness. Moreover, it was detected low use of futures mechanism not only for this product, but for all Brazilian agribusiness, despite of the futures markets are widely disseminated as an effective way of risks reduction from the physical product sale. In general, the hedging literature in the risk minimize researchs has been shown difference in their results; in particular the recent questioning is based on informational content. Hedge strategy is understood as the proportion of futures contracts acquired when compared with the physical product commercialization. To find those strategies in this work, were estimated the Linear Regression Classic Model (MCRL) on the return of the cash and futures prices (no information past) called Simple Strategy; the Vector Error Correction model (VEC), which incorporates the informational content in auto-regressive form and the inter-relationship between the short and long run, this strategy was called Strategy with Information Content (ECCI). The common feature of these strategies is that they are static, as the variance and covariance are constant, keeping also the risks constant. Finally, it was found a Dynamic strategy of hedge from Multivariate BEKK GARCH model, which includes information on the effects of price volatility (conditional volatility). The strategy is dynamic because the variance and covariance is changing, modifying the risks and as consequence the proportion of futures contracts on physical marketing. Beyond these strategies it were included two other fairly common strategies in the Brazilian market: not to act in future markets, and complete coverage, in which the hedge contracts in future the same proportion of their marketing physics. The results showed that the strategy that most reduced risk of the marketing of arabian coffee was the Dynamics strategy for all contracts within and outside of the sample, followed by Simple Strategy, ECCI and Complete Coverage. No act in future markets has been responsible for the higher risk. For players with small-scale marketing, was not possible identify witch was the best strategy, excluding Complete Coverage, which was not advisable. All of them had similar risk reduction. The larger the scale of marketing and consequently, the greater the importance of the dynamics strategy of hedge. It was concluded that the simple strategy is yet apply to agents with small marketing since they demand little time management, requires no specialists can be done by the very agent. The conclusion is reinforced by the Complete Coverage was not good strategy. However, the amounts paid by the strategy may not feasible action in the futures markets. As those hedgers with greater scale of the marketing strategy will be interesting dynamics, as applicable.

ASSUNTO(S)

efetividade mercados futuros arabian coffee effectiveness garch multivariado futures markets café arábica administracao rural hedge multivariate garch hedge

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