Hedging Strategies for Brazilian Ethanol: an analysis of domestic and foreign futures contracts operations
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Data de Publicação: | 2019 |
Outros Autores: | , |
Tipo de documento: | Artigo |
Idioma: | por |
Título da fonte: | Revista de Ciências da Administração |
Texto Completo: | https://periodicos.ufsc.br/index.php/adm/article/view/2175-8077.2019V21n53p22 |
Resumo: | Several changes in biofuels international market has influenced local market dynamics and price risks. This study proposes to assess the hedging effectiveness and basis risk of the Brazilian ethanol using domestic and U.S. futures contract from 2010 through 2019. We use the simultaneous hedging for prices and exchange rate. Our overall results indicate that hedging strategies with U.S. futures contracts were less efficient and caused higher basis risk than strategies that use domestic contracts. The results were primarily influenced by exchange rate volatility, supply shocks, and biofuels policies implemented in Brazil and U.S. While the use of foreign contracts presents participants with additional basis risk, we found that during periods of less domestic regulation and lower exchange rate variation, hedging strategies that use foreign contracts are nearly as effective as those using domestic futures contracts. Thus, market participants in Brazil should consider using foreign contracts in their hedging strategies, particularly during periods of lower expected exchange risk. |
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Hedging Strategies for Brazilian Ethanol: an analysis of domestic and foreign futures contracts operationsEstratégias de Hedge para o Etanol Brasileiro: análise a partir de operações de contratos futuros doméstico e estrangeirosSeveral changes in biofuels international market has influenced local market dynamics and price risks. This study proposes to assess the hedging effectiveness and basis risk of the Brazilian ethanol using domestic and U.S. futures contract from 2010 through 2019. We use the simultaneous hedging for prices and exchange rate. Our overall results indicate that hedging strategies with U.S. futures contracts were less efficient and caused higher basis risk than strategies that use domestic contracts. The results were primarily influenced by exchange rate volatility, supply shocks, and biofuels policies implemented in Brazil and U.S. While the use of foreign contracts presents participants with additional basis risk, we found that during periods of less domestic regulation and lower exchange rate variation, hedging strategies that use foreign contracts are nearly as effective as those using domestic futures contracts. Thus, market participants in Brazil should consider using foreign contracts in their hedging strategies, particularly during periods of lower expected exchange risk.As mudanças ocorridas no mercado internacional de biocombustíveis provocaram significativas alterações no mercado de etanol brasileiro. Diante disso, este trabalho objetivou avaliar a eficiência do hedge e risco de base do etanol brasileiro utilizando contratos futuros no Brasil e EUA entre 2010 a 2019. Para isso, foi utilizado um modelo de hedge simultâneo de câmbio e preços. Os resultados indicam que a utilização de contratos estrangeiros não foi eficiente na maior parte dos anos, sobretudo em razão das variações cambiais, choques de oferta e intervenções nos mercados de combustíveis de ambos os países. Além disso, a operação com contratos americanos oferece maior variação no risco de base, sobretudo pelo fator cambial. No entanto, observa-se que nos períodos de menores volatilidades cambiais e de redução dos efeitos domésticos na regulação do mercado, a efetividade do hedge com contratos estrangeiros foi próxima daquela utilizando contratos nacionais, sugerindo-se uma alternativa na procura por contratos com maior liquidez.Universidade Federal de Santa Catarina2019-04-12info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionPesquisa teóricoempírica; Pesquisa Aplicadaapplication/pdfhttps://periodicos.ufsc.br/index.php/adm/article/view/2175-8077.2019V21n53p2210.5007/2175-8077.2019V21n53p22Revista de Ciências da Administração; V.21 N.53 Abril de 2019; 22-382175-80771516-3865reponame:Revista de Ciências da Administraçãoinstname:Universidade Federal de Santa Catarina (UFSC)instacron:UFSCporhttps://periodicos.ufsc.br/index.php/adm/article/view/2175-8077.2019V21n53p22/pdfCopyright (c) 2019 Revista de Ciências da Administraçãoinfo:eu-repo/semantics/openAccessDario Capitani, Daniel HenriqueTonin, Julyerme MatheusCruz Júnior, José César2020-08-07T10:30:29Zoai:periodicos.ufsc.br:article/50040Revistahttp://www.periodicos.ufsc.br/index.php/admPUBhttps://periodicos.ufsc.br/index.php/adm/oairevista@cse.ufsc.br||mfpcris@gmail.com||rca.cse@contato.ufsc.br2175-80771516-3865opendoar:2020-08-07T10:30:29Revista de Ciências da Administração - Universidade Federal de Santa Catarina (UFSC)false |
dc.title.none.fl_str_mv |
Hedging Strategies for Brazilian Ethanol: an analysis of domestic and foreign futures contracts operations Estratégias de Hedge para o Etanol Brasileiro: análise a partir de operações de contratos futuros doméstico e estrangeiros |
title |
Hedging Strategies for Brazilian Ethanol: an analysis of domestic and foreign futures contracts operations |
spellingShingle |
Hedging Strategies for Brazilian Ethanol: an analysis of domestic and foreign futures contracts operations Dario Capitani, Daniel Henrique |
title_short |
Hedging Strategies for Brazilian Ethanol: an analysis of domestic and foreign futures contracts operations |
title_full |
Hedging Strategies for Brazilian Ethanol: an analysis of domestic and foreign futures contracts operations |
title_fullStr |
Hedging Strategies for Brazilian Ethanol: an analysis of domestic and foreign futures contracts operations |
title_full_unstemmed |
Hedging Strategies for Brazilian Ethanol: an analysis of domestic and foreign futures contracts operations |
title_sort |
Hedging Strategies for Brazilian Ethanol: an analysis of domestic and foreign futures contracts operations |
author |
Dario Capitani, Daniel Henrique |
author_facet |
Dario Capitani, Daniel Henrique Tonin, Julyerme Matheus Cruz Júnior, José César |
author_role |
author |
author2 |
Tonin, Julyerme Matheus Cruz Júnior, José César |
author2_role |
author author |
dc.contributor.author.fl_str_mv |
Dario Capitani, Daniel Henrique Tonin, Julyerme Matheus Cruz Júnior, José César |
description |
Several changes in biofuels international market has influenced local market dynamics and price risks. This study proposes to assess the hedging effectiveness and basis risk of the Brazilian ethanol using domestic and U.S. futures contract from 2010 through 2019. We use the simultaneous hedging for prices and exchange rate. Our overall results indicate that hedging strategies with U.S. futures contracts were less efficient and caused higher basis risk than strategies that use domestic contracts. The results were primarily influenced by exchange rate volatility, supply shocks, and biofuels policies implemented in Brazil and U.S. While the use of foreign contracts presents participants with additional basis risk, we found that during periods of less domestic regulation and lower exchange rate variation, hedging strategies that use foreign contracts are nearly as effective as those using domestic futures contracts. Thus, market participants in Brazil should consider using foreign contracts in their hedging strategies, particularly during periods of lower expected exchange risk. |
publishDate |
2019 |
dc.date.none.fl_str_mv |
2019-04-12 |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion Pesquisa teóricoempírica; Pesquisa Aplicada |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
https://periodicos.ufsc.br/index.php/adm/article/view/2175-8077.2019V21n53p22 10.5007/2175-8077.2019V21n53p22 |
url |
https://periodicos.ufsc.br/index.php/adm/article/view/2175-8077.2019V21n53p22 |
identifier_str_mv |
10.5007/2175-8077.2019V21n53p22 |
dc.language.iso.fl_str_mv |
por |
language |
por |
dc.relation.none.fl_str_mv |
https://periodicos.ufsc.br/index.php/adm/article/view/2175-8077.2019V21n53p22/pdf |
dc.rights.driver.fl_str_mv |
Copyright (c) 2019 Revista de Ciências da Administração info:eu-repo/semantics/openAccess |
rights_invalid_str_mv |
Copyright (c) 2019 Revista de Ciências da Administração |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
Universidade Federal de Santa Catarina |
publisher.none.fl_str_mv |
Universidade Federal de Santa Catarina |
dc.source.none.fl_str_mv |
Revista de Ciências da Administração; V.21 N.53 Abril de 2019; 22-38 2175-8077 1516-3865 reponame:Revista de Ciências da Administração instname:Universidade Federal de Santa Catarina (UFSC) instacron:UFSC |
instname_str |
Universidade Federal de Santa Catarina (UFSC) |
instacron_str |
UFSC |
institution |
UFSC |
reponame_str |
Revista de Ciências da Administração |
collection |
Revista de Ciências da Administração |
repository.name.fl_str_mv |
Revista de Ciências da Administração - Universidade Federal de Santa Catarina (UFSC) |
repository.mail.fl_str_mv |
revista@cse.ufsc.br||mfpcris@gmail.com||rca.cse@contato.ufsc.br |
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