000262762 001__ 262762
000262762 005__ 20180123011730.0
000262762 022__ $$a1517-3879
000262762 037__ $$a1511-2017-1846
000262762 041__ $$apor
000262762 242__ $$aSimulations of Optimal Hedge Ratios for the Brazilian Exported Grape
000262762 245__ $$aSIMULAÇÕES DE RAZÕES ÓTIMAS DE HEDGE PARA A UVA EXPORTADA BRASILEIRA
000262762 260__ $$c2015
000262762 269__ $$a2015-03-01
000262762 336__ $$aJournal Article
000262762 520__ $$aNum estudo exploratório anterior, Ferreira e Sampaio (2009) encontraram uma predisposição dos fruticultores para a implantação de um mercado de futuros para a uva e a manga exportada brasileira. Entretanto, uma das limitações desse estudo foi a ausência das razões de hedge que melhor atendessem às demandas daqueles fruticultores envolvidos. Objetivou-se neste artigo identificar, por simulação, as razões ótimas de hedge que seriam efetivas na diminuição do risco de preço da uva exportada brasileira, via mercado de futuros. Coletaram-se 300 preços médios mensais US$ FOB/kg entre 1989 e 2013 no site AliceWeb2. Utilizou-se o modelo de previsão ARIMA para simular os preços futuros. Construíram-se 48 cenários para cada abordagem de hedging empregada no estudo: Variância Mínima e Média-Variância. Identificou-se que os contratos futuros, com vencimento de 03 e 06 meses apresentaram, as melhores médias na efetividade do hedge (26% e 20%, respectivamente), com razões ótimas de hedge de 91,6% e 66,4%, em posições vendidas. Estes resultados, portanto, coincidem com o prazo de armazenagem de 01 a 06 meses em packing houses, mostrando assim o aparecimento de uma ligação entre aspectos operacionais e financeiros que viabilizariam o contrato futuro da uva exportada brasileira. ----- 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.
000262762 542__ $$fBy depositing this Content ('Content') in AgEcon Search, I agree that  I am solely responsible for any consequences of uploading this Content to AgEcon Search and making it publicly available, and I represent and warrant that: I am either the sole creator and the owner of the copyrights and all other rights in the Content; or, without obtaining another’s permission, I have the right to deposit the Content in an archive such as AgEcon Search. To the extent that any portions of the Content are not my own creation, they are used with the copyright holder’s express permission or as permitted by law. Additionally, the Content does not infringe the copyrights or other intellectual property rights of another, nor does the Content violate any laws or another’s rights of privacy or publicity. The Content contains no restricted, private, confidential, or otherwise protected data or information that should not be publicly shared. I understand that AgEcon Search will do its best to provide perpetual access to my Content. In order to support these efforts, I grant the Regents of the University of Minnesota ('University'), through AgEcon Search, the following non-exclusive, irrevocable, royalty-free, world-wide rights and licenses: to access, reproduce, distribute and publicly display the Content, in whole or in part, in order to secure, preserve and make it publicly available, and to make derivative works based upon the Content in order to migrate the Content to other media or formats, or to preserve its public access. These terms do not transfer ownership of the copyright(s) in the Content. These terms only grant to the University the limited license outlined above.
000262762 546__ $$aPortuguese
000262762 650__ $$aCrop Production/Industries
000262762 650__ $$aMarketing
000262762 650__ $$aRisk and Uncertainty
000262762 6531_ $$aRisco de Preço
000262762 6531_ $$aModelo ARIMA
000262762 6531_ $$aAbordagens de Hedging
000262762 6531_ $$aPrice risk
000262762 6531_ $$aARIMA model
000262762 6531_ $$aHedging approach
000262762 700__ $$aOliveira, Abdinardo Moreira Barreto 
000262762 700__ $$ados Santos, Joséte Florencio 
000262762 773__ $$jVolume 17$$kNumber 1$$o118$$q101$$tOrganizações Rurais e Agroindustriais/Rural and Agro-Industrial Organizations
000262762 8560_ $$fsnyde350@umn.edu
000262762 8564_ $$s1519266$$uhttp://ageconsearch.umn.edu/record/262762/files/952-2276-1-PB.pdf
000262762 8564_ $$s2252153$$uhttp://ageconsearch.umn.edu/record/262762/files/952-2276-1-PB.pdf?subformat=pdfa$$xpdfa
000262762 909CO $$ooai:ageconsearch.umn.edu:262762$$pGLOBAL_SET
000262762 980__ $$a1511