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Abstract(s)
O presente estudo tem por objetivo analisar e comparar a eficiência da cobertura de risco através da utilização de contratos futuros como ferramenta de estratégia de hedging para os produtores e consumidores. Os dados referentes à série histórica de preços de contratos futuros negociados pela Brasil, Bolsa, Balcão(B3) foram coletados dados no período de 02/2011 a 05/2019 através do site Investing (2019), enquanto a série histórica de preços na região produtora do Paraná foi coletada diretamente no site do Centro de Estudos Avançados em Economia Aplicada CEPEA-Esalq/USP, para então serem tratados no Laboratório de Análise de Dados em Gestão e Economia (LADGE) localizado na Universidade Tecnológica Federal do Paraná, campus Curitiba (UTFPR-Sede), sob a égide da Escola de Gestão e Economia (Dagee). Para tanto, foi estimado um modelo autorregressivo – AR(1) dos preços spot como variável dependente e os preços spot desfasados e os preços de contratos futuros como variáveis independentes. O modelo se mostrou estatisticamente significativo e com um ajuste medido pelo R² de aproximadamente 55%. Observou-se que a razão ótima de hedge para carteiras agro do modelo foi de 94.05% e sua eficiência de proteção foi de 78,6%. A partir dos resultados obtidos, concluiu-se que os mercados futuros não são eficientes para a cobertura do risco ao qual seus agentes estão expostos, quando associado ao modelo de previsão de preços autorregressivo utilizado neste trabalho.
The present study aims to analyze and compare the effectiveness of hedging through the use of futures contracts as hedging strategy for producers and consumers. Data referring to the historical price series of futures contracts traded by Brasil, Bolsa, Balcão (B3) were collected from February 2011 to May 2019 through the website Investing (2019), while the historical price series for producers in the Paraná region was collected directly from the CEPEA-Esalq / USP Center for Advanced Studies in Applied Economics, to be addressed at the Management and Economics Data Analysis Laboratory (LADGE) located at the Federal Technological University of Paraná, Curitiba (UTFPR-Headquarters), under the aegis of the School of Management and Economics (Dagee). For this, an autoregressive model – AR(1) of the spot prices was estimated as the dependent variable and the lagged spot prices and futures prices as independent variables. The model was statistically significant and with an adjusted R² of approximately 55%. It was observed that the optimal hedge ratio for agro portfolios of the model was 94.05% and its protection efficiency was 78.6%. From the results obtained, it was concluded that futures markets are not efficient to hedge the risk to which their agents are exposed, when associated with the autoregressive price forecasting model used in this paper.
The present study aims to analyze and compare the effectiveness of hedging through the use of futures contracts as hedging strategy for producers and consumers. Data referring to the historical price series of futures contracts traded by Brasil, Bolsa, Balcão (B3) were collected from February 2011 to May 2019 through the website Investing (2019), while the historical price series for producers in the Paraná region was collected directly from the CEPEA-Esalq / USP Center for Advanced Studies in Applied Economics, to be addressed at the Management and Economics Data Analysis Laboratory (LADGE) located at the Federal Technological University of Paraná, Curitiba (UTFPR-Headquarters), under the aegis of the School of Management and Economics (Dagee). For this, an autoregressive model – AR(1) of the spot prices was estimated as the dependent variable and the lagged spot prices and futures prices as independent variables. The model was statistically significant and with an adjusted R² of approximately 55%. It was observed that the optimal hedge ratio for agro portfolios of the model was 94.05% and its protection efficiency was 78.6%. From the results obtained, it was concluded that futures markets are not efficient to hedge the risk to which their agents are exposed, when associated with the autoregressive price forecasting model used in this paper.
Description
Mestrdo APNOR e Mestrado de dupla diplomação com a UTFPR - Universidade Tecnológica Federal do Paraná
Keywords
Gestão de risco Hedging Soja Mercados futuros Contratos futuros