Gestão do Risco de Preço de Café Arábica: uma Análise por meio do Comportamento da Base

This paper analyzes the basis behavior for arabica coffee, aiming to help the design of hedging strategies. It was verified that there are opportunities for both short and long hedging, but the opportunities for long hedging are fewer and less profitable than for short hedging. Besides, the futures...

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Bibliographic Details
Published inRevista de Economia e Sociologia Rural (RESR) Vol. 43; no. 3; pp. 443 - 464
Main Authors Barros, Áther de Miranda, Aguiar, Danilo R. D
Format Journal Article
LanguagePortuguese
Published 01.01.2005
Edition2541
Subjects
Arabic coffee
Future Markets
Risk administration
Risk and Uncertainty
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Summary:This paper analyzes the basis behavior for arabica coffee, aiming to help the design of hedging strategies. It was verified that there are opportunities for both short and long hedging, but the opportunities for long hedging are fewer and less profitable than for short hedging. Besides, the futures contracts for delivering in March and May are the riskiest because of the high level of uncertainty just before the harvest season. It was verified also that basis strengthening is not associated to basis risk, since in most of the cases larger profitability is associated to lower risk, and vice-versa. Finally, the results showed that the most profitable short hedging strategies are the ones placed in the second semester of every year.
ISSN:1806-9479
DOI:10.22004/ag.econ.341965