Previsões de razões ótimas de hedge para a manga exportada brasileira [Forecasting of optimal hedge ratios for the Brazilian exported mango]

Abdinardo Moreira Barreto de Oliveira and Joséte Florencio dos Santos
Additional contact information
Abdinardo Moreira Barreto de Oliveira: UTFPR
Joséte Florencio dos Santos: UFPE

Nova Economia, 2017, vol. 27, issue 3, 671-703

Abstract: This study forecast the effective’s optimal hedge ratios in diminishing the risk price of Brazilian mango exported, by futures markets. It was collected 300 monthly average mango prices US$ FOB/kg, between 1989 and 2013, from the site AliceWeb2. It was used the ARIMA models to forecast the futures prices. It was built 48 scenarios for each hedging approach used in this study: Minimum Variance, Mean-Variance and BEKK-GARCH. The futures contracts with maturities of 05 and 09 months had the best hedge effectiveness averages (35% and 36%), with optimal hedge ratios of 86.5% and 75.1%, in short positions. In practical matters, the BEKK-GARCH dynamic model had satisfactory hedge results only in large periods, showing its sensibility towards the size, and the prevalence of statics hedge approach in small periods.

Keywords: price risk; mango exported; ARIMA model; Hedging approaches; futures markets (search for similar items in EconPapers)
JEL-codes: C22 G13 G17 (search for similar items in EconPapers)
Date: 2017
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.scielo.br/pdf/neco/v27n3/0103-6351-neco-27-03-671.pdf (application/pdf)
http://www.scielo.br/scielo.php?script=sci_arttext ... g=en&nrm=iso&tlng=pt (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:nov:artigo:v:27:y:2017:i:3:p:671-703

Ordering information: This journal article can be ordered from
Av. Antonio Carlos, 6627 - Predio da FACE Belo Horizonte, 31270-901 Brazil
https://revistas.fac ... dex.php/novaeconomia

Access Statistics for this article

Nova Economia is currently edited by Gustavo de Britto Rocha

More articles in Nova Economia from Economics Department, Universidade Federal de Minas Gerais (Brazil) Av. Antonio Carlos, 6627 - Predio da FACE Belo Horizonte, 31270-901 Brazil. Contact information at EDIRC.
Bibliographic data for series maintained by Lucas Resende de Carvalho ().