Avaliação de eficiência de estratégias de hedge para o risco de preço do café do Brasil com o uso de contratos da BM&FBOVESPA

Abstract

Brazil is the world’s largest coffee producer and exporter. However the new prices and volatility scenario since the 2008 crisis and the increasing competition of new players entry have expressed the need for use of market mechanisms for managing price risk. Among the alternatives illustrated are the futures markets, in particular the coffee futures contracts at BMFBOVESPA, Brazil. Our aim was to evaluate the efficiency of no hedge, simple (naïve) hedge, static and dynamic hedge calculated by GARCH-BEKK strategies in managing price risk in the leading Brazilian coffee producing regions. The efficiencies of static and dynamic hedging strategies were superior to the other, although the latter allows the calibration of intertemporal hedging rates, reducing operational costs. Also, the use of BMFBOVESPA coffee futures contracts for hedging might increase market liquidity, enabling various operational alternatives design.