Simulações de razões ótimas de hedge para a uva exportada brasileira

• Autor(a) principal: Oliveira, Abdinardo Moreira Barreto
• Data de Publicação: 2015
• Outros Autores: Santos, Joséte Florencio dos
• Tipo de documento: Artigo
• Idioma: por
• Título da fonte: Repositório Institucional da UFLA
• Texto Completo: http://revista.dae.ufla.br/index.php/ora/article/view/952; http://repositorio.ufla.br/jspui/handle/1/12919
• topic: Fruticultura; Risco de Preço; Modelo ARIMA; Abordagens de Hedging; Fruitculture; Price risk; ARIMA model; Hedging approach

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.