IDEAS home Printed from https://ideas.repec.org/p/ibr/dpaper/2005-14.html
   My bibliography  Save this paper

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
    as

    Download full text from publisher

    File URL: http://professores.ibmecrj.br/erg/dp/papers/dp200514.pdf
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    demanda de derivativos de câmbio; hedge; especulação; swaps cambiais; firmas de capital aberto;
    All these keywords.

    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

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ibr:dpaper:2005-14. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Márcio Laurini (email available below). General contact details of provider: https://edirc.repec.org/data/ibmrjbr.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.