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Master's Dissertation
DOI
10.11606/D.11.2016.tde-14122015-092754
Document
Author
Full name
Julio Cesar Kairalla
E-mail
Institute/School/College
Knowledge Area
Date of Defense
Published
Piracicaba, 2015
Supervisor
Committee
Martines Filho, Joao Gomes (President)
Alves, Alex da Silva
Capitani, Daniel Henrique Dario
Title in Portuguese
Avaliação do risco e o impacto do hedge simultâneo de preços e câmbio para o exportador de café no Brasil
Keywords in Portuguese
Café
Dólar
Hedge
Hedge simultâneo
Mínima variância
Abstract in Portuguese
Este trabalho tem como analisa principal a estratégia de hedge para o exportador de café nas principais regiões brasileiras, utilizando o modelo tradicional de hedge de variância mínima para a receita. São propostas quatro estratégias: sem hedge, hedge de preço do café, hedge de câmbio e hedge simultâneo de preço do café e câmbio. Chega-se à conclusão que a estratégia de hedge simultâneo de preços e câmbio é mais efetiva em diminuir a variância da receita do produtor em relação a outras estratégias analisadas. A redução do risco de taxa de câmbio, em conjunto com o risco de preços é importante para a gestão estratégica dos exportadores de commodities.
Title in English
Risk assessment and the impact of simultaneous hedge prices and exchange for the exporter of coffee in Brazil
Keywords in English
Coffee
Exchange rates
Hedge
Minimum variance
Simultaneous hedge
Abstract in English
This thesis aims to analyze the hedging strategies for coffee export in the main Brazilian regions, using the traditional model of minimum variance hedge. In this way, four hedging strategies were proposed: no hedge, hedge coffee prices, exchange hedge and hedge simultaneous coffee prices and exchange rates. The result show that the hedging strategy of simultaneous price and exchange is more effective in reducing the variance of revenue producer comparing with other strategies analyzed. Reducing the risk of exchange rate, together with the price risk is important for the strategic management of commodity exporters.
 
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Publishing Date
2016-01-18
 
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