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

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  • Barros, Áther de Miranda
  • Aguiar, Danilo Rolim Dias de

Abstract

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 profi- table short hedging strategies are the ones placed in the second semester of every year.

Suggested Citation

  • Barros, Áther de Miranda & Aguiar, Danilo Rolim Dias de, 2005. "Gestão do Risco de Preço de Café Arábica: uma Análise por meio do Comportamento da Base," Brazilian Journal of Rural Economy and Sociology (Revista de Economia e Sociologia Rural-RESR), Sociedade Brasileira de Economia e Sociologia Rural, vol. 43(3), pages 1-22, September.
    • Handle: RePEc:ags:rdecag:156829
    DOI: 10.22004/ag.econ.156829
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    Cited by:

    1. Morgunov, V.I. (Моргунов, В.И.), 2016. "The Liquidity Management of the Banking Sector and the Short-Term Money Market Interest Rates [Управление Ликвидностью Банковского Сектора И Краткосрочной Процентной Ставкой Денежного Рынка]," Working Papers 21311, Russian Presidential Academy of National Economy and Public Administration.

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    Keywords

    Agribusiness;

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