SIMULAÇÕES DE RAZÕES ÓTIMAS DE HEDGE PARA A UVA EXPORTADA BRASILEIRA

Abdinardo Moreira Barreto Oliveira and Joséte Florencio dos Santos

Organizações Rurais e Agroindustriais/Rural and Agro-Industrial Organizations, 2015, vol. 17, issue 01

Abstract: Num estudo exploratório anterior, Ferreira e Sampaio (2009) encontraram uma predisposição dos fruticultores para a implantação de um mercado de futuros para a uva e a manga exportada brasileira. Entretanto, uma das limitações desse estudo foi a ausência das razões de hedge que melhor atendessem às demandas daqueles fruticultores envolvidos. Objetivou-se neste artigo identificar, por simulação, as razões ótimas de hedge que seriam efetivas na diminuição do risco de preço da uva exportada brasileira, via mercado de futuros. Coletaram-se 300 preços médios mensais US$ FOB/kg entre 1989 e 2013 no site AliceWeb2. Utilizou-se o modelo de previsão ARIMA para simular os preços futuros. Construíram-se 48 cenários para cada abordagem de hedging empregada no estudo: Variância Mínima e Média-Variância. Identificou-se que os contratos futuros, com vencimento de 03 e 06 meses apresentaram, as melhores médias na efetividade do hedge (26% e 20%, respectivamente), com razões ótimas de hedge de 91,6% e 66,4%, em posições vendidas. Estes resultados, portanto, coincidem com o prazo de armazenagem de 01 a 06 meses em packing houses, mostrando assim o aparecimento de uma ligação entre aspectos operacionais e financeiros que viabilizariam o contrato futuro da uva exportada brasileira. ----- In an early exploratory study, Ferreira and Sampaio (2009) found a predisposition of fruit-growers for the implementation of a future market for the Brazilian exported grape and mango. However, one of limitations they faced was the absence of hedge ratios which could better meet their demands. By using simulation, we performed this work aiming to identify optimal hedge ratios which would be effective in reducing the price risk of Brazilian exported grape via future market. By searching on the AliceWeb2 website, we obtained 300 monthly means of FOB price per kilogram, estimated in US dollar, from 1989 to 2013. An ARIMA forecasting model was used to simulate future prices. Forty-eight scenarios were established for each hedging approach, namely, Minimum Variance and Mean-Variance. Future contracts expiring in three and six months were found to show better means of hedge effectiveness, about 26% and 20%, respectively, with optimal hedge ratio of about 91.6% and 66.4% in short position. These results were according to the storage term from one to six months in packing houses, showing the appearance of a link between operational and financial aspects, which serve the future contract of Brazilian exported grape.

Keywords: Crop Production/Industries; Marketing; Risk and Uncertainty (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:ags:orarao:262762

DOI: 10.22004/ag.econ.262762

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