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Demanda de Derivativos de Câmbio no Brasil: Hedge ou Especulação

Author

Listed:
  • 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.

Suggested Citation

  • Walter Novaes & Fernando N. de Oliveira, 2005. "Demanda de Derivativos de Câmbio no Brasil: Hedge ou Especulação," IBMEC RJ Economics Discussion Papers 2005-14, Economics Research Group, IBMEC Business School - Rio de Janeiro.
  • Handle: RePEc:ibr:dpaper:2005-14
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    File URL: http://professores.ibmecrj.br/erg/dp/papers/dp200514.pdf
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    More about this item

    Keywords

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

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • G38 - Financial Economics - - Corporate Finance and Governance - - - Government Policy and Regulation

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