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Habilitation Thesis
DOI
10.11606/T.11.2014.tde-22072014-160153
Document
Author
Full name
Souza,Waldemar Antônio da Rocha de
E-mail
Institute/School/College
Knowledge Area
Date of Defense
Published
Piracicaba, 2013
Committee
Marques, Pedro Valentim (President)
Bacchi, Mirian Rumenos Piedade
Bueno, Rodrigo de Losso da Silveira
Kolev, Nikolai Valtchev
Reis, Ricardo Pereira
Title in Portuguese
Avaliação de estratégias de gerenciamento de risco de preços de café do Brasil com o uso de mercados futuros
Keywords in Portuguese
Brasil
Gerenciamento de risco
Mercados futuros
Preços de café
Abstract in Portuguese
O Brasil é o maior produtor e exportador mundial de café, que registra relevante participação no agronegócio do país. Entretanto, o recente aumento da concorrência internacional, bem como dos níveis de preços e volatilidade devido à crise financeira do subprime de 2008, demonstram a necessidade de uso de estratégias de gerenciamento de risco de preços do grão. Assim, avaliou-se a eficiência econômica das decisões alocativas dos agentes da cadeia de café do BR, nas regiões de Mogiana (SP), Planalto (SP), Cerrado (MG), Sul de Minas (MG), Zona da Mata (MG) e Noroeste (PR) com o uso dos mercados futuros. Aplicando a modelagem Value-at-Risk (VaR) identificou-se elevado risco de preços a vista do café nas regiões produtoras, apontando a necessidade de uso estratégias de gerenciamento de risco. Examinaram-se as bases regionais de café em relação à BM&F-BOVESPA, analisando especificamente o grau de risco e a previsão da base semanal, com resultados eficientes. Também analisaram-se estratégias de hedge do risco dos preços regionais de café comparando-se as eficiências de posições sem hedge, com hedge simples (naïve), com hedge ótimo estático e dinâmico GARCH-BEKK, que registrou melhor grau de eficiência ponderado com flexibilidade operacional. Investigou-se o potencial de atração de operações especulativas dos contratos futuros de café da BM&F-BOVESPA, com análise espectral e regras de filtragem, apontando lucratividade. Compararam-se modelos de previsão da volatilidade realizada semanal dos preços futuros de café da BM&F-BOVESPA, com resultados ambíguos, apontando a volatilidade simples como melhor previsora. Os resultados da pesquisa atualizaram temas relevantes para o gerenciamento de risco de preço do café das regiões produtoras brasileiras, que podem ser aplicados em decisões dos agentes da cadeia de oferta de café.
Title in English
Evaluation of risk management strategies for coffee prices in Brazil with the use of futures markets
Keywords in English
Brazil
Coffee prices
Futures markets
Risk management
Abstract in English
Brazil is the world largest producer and exporter of coffee, which registers a relevant participation in the country agribusiness. However, the recent increase in international competition as well as price levels and volatility due to the subprime financial crisis of 2008, demonstrates the need for use of risk management strategies for the grain prices. Thus, we evaluated the economic efficiency of the allocation decisions of the Brazilian coffee supply chain agents, in the regions of Mogiana (SP), Planalto (SP), Cerrado (MG), Sul de Minas (MG), Zona da Mata (MG ) and Noroeste (PR) with the use of futures markets. Applying the Value-at-Risk (VaR) model it was identified a high risk of spot prices in the coffee producing regions, highlighting the need to use risk management strategies. Regional coffee basis in relation to BM&F-BOVESPA Were examined analyzing specifically the risk degree weekly basis forecasting, with effective results. We also analyzed the strategies of regional coffee price risk hedge comparing the efficiencies of unhedged positions with naïve hedge, with optimal static and dynamic GARCH-BEKK hedge, which identified the best degree of efficiency weighted by operational flexibility. We investigated the potential attraction of speculative operations of the BM&F-BOVESPA coffee futures contracts, with spectral analysis and filtering rules, illustrating profitability. We compared the predictive models of realized volatility for the coffee weekly futures prices of BM&F-BOVESPA, with mixed results, classifying the simple volatility as the best forecast. Research results updated relevant topics relevant to managing Brazilian coffee price risk in the producing regions, which can be applied to decisions of the coffee supply chain agents.
 
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Publishing Date
2014-07-23
 
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