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Demanda de Derivativos de Câmbio no Brasil: Hedge ou Especulação

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Author Info

  • Walter Novaes

    (PUC/RJ)

  • Fernando N. de Oliveira

    (IBMEC Business School - Rio de Janeiro and Central Bank of Brazil)

Abstract

Este artigo examina empiricamente a demanda de derivativos de câmbio de empresas brasileiras de capital aberto. Para tanto, construimos um banco de dados original com 23.767 contratos de swap cambial entre empresas e instituições financeiras em aberto em 2002. A partir destes contratos, identificamos 42 empresas de capital aberto que fizeram hedge no mercado de derivativos de câmbio e 51 que especularam. Os dados mostram que a existência de dívida externa e o tamanho da empresa afetaram positivamente a probabilidade de hedge, enquanto as receitas de exportação afetaram positivamente a probabilidade de especulação. Estes resultados sugerem que em períodos de grande volatilidade do câmbio - como no ano de 2002 - a demanda das empresas por derivativos de câmbio está fortemente relacionada a motivos especulativos.

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Bibliographic Info

Paper provided by Economics Research Group, IBMEC Business School - Rio de Janeiro in its series IBMEC RJ Economics Discussion Papers with number 2005-14.

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Date of creation: 15 Dec 2005
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Handle: RePEc:ibr:dpaper:2005-14

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Keywords: demanda de derivativos de câmbio; hedge; especulação; swaps cambiais; firmas de capital aberto;

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