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Previous issue date: 2013-10-08 / This research aims to investigate the Hedge Efficiency and Optimal Hedge Ratio for the future market of cattle, coffee, ethanol, corn and soybean. This paper uses the Optimal Hedge Ratio and Hedge Effectiveness through multivariate GARCH models with error correction, attempting to the possible phenomenon of Optimal Hedge Ratio differential during the crop and intercrop period. The Optimal Hedge Ratio must be bigger in the intercrop period due to the uncertainty related to a possible supply shock (LAZZARINI, 2010). Among the future contracts studied in this research, the coffee, ethanol and soybean contracts were not object of this phenomenon investigation, yet. Furthermore, the corn and ethanol contracts were not object of researches which deal with Dynamic Hedging Strategy. This paper distinguishes itself for including the GARCH model with error correction, which it was never considered when the possible Optimal Hedge Ratio differential during the crop and intercrop period were investigated. The commodities quotation were used as future price in the market future of BM&FBOVESPA and as spot market, the CEPEA index, in the period from May 2010 to June 2013 to cattle, coffee, ethanol and corn, and to August 2012 to soybean, with daily frequency. Similar results were achieved for all the commodities. There is a long term relationship among the spot market and future market, bicausality and the spot market and future market of cattle, coffee, ethanol and corn, and unicausality of the future price of soybean on spot price. The Optimal Hedge Ratio was estimated from three different strategies: linear regression by MQO, BEKK-GARCH diagonal model, and BEKK-GARCH diagonal with intercrop dummy. The MQO regression model, pointed out the Hedge inefficiency, taking into consideration that the Optimal Hedge presented was too low. The second model represents the strategy of dynamic hedge, which collected time variations in the Optimal Hedge. The last Hedge strategy did not detect Optimal Hedge Ratio differential between the crop and intercrop period, therefore, unlikely what they expected, the investor do not need increase his/her investment in the future market during the intercrop / Esta pesquisa objetivou investigar a efici?ncia e raz?o ?tima de hedge para os mercados futuro de boi, caf?, etanol, milho e soja. Este trabalho tratou a raz?o ?tima e efetividade de hedge atrav?s de modelos GARCH multivariados com termo de corre??o de erro, atentando para o poss?vel fen?meno de diferenciais de raz?o ?tima de hedge nos per?odos de safra e entressafra. A raz?o ?tima de hedge deve ser maior na entressafra devido ? maior incerteza com rela??o a um poss?vel choque de oferta (LAZZARINI, 2010). Dentre os contratos futuros tratados nesta pesquisa, os contratos de caf?, etanol e soja ainda n?o foram objeto de investiga??o desse fen?meno. Al?m disso, os contratos futuros de milho e etanol ainda n?o foram objeto de pesquisas que tratam de estrat?gias de hedge din?mico. Este trabalho se diferencia ainda por incluir o mecanismo de corre??o de erro na modelagem GARCH, o que nunca foi considerado ao se investigar poss?veis diferenciais de raz?o ?tima de hedge nos per?odos de safra e entressafra. Foram utilizadas como pre?o futuro das commodities as cota??es das mesmas no mercado futuro da BM&FBOVESPA e como pre?o ? vista o ?ndice CEPEA, no per?odo de maio de 2010 a junho de 2013 para boi, caf?, etanol e milho e at? agosto de 2012 para a soja, com frequ?ncia di?ria. Foram obtidos resultados semelhantes para todas as commodities. H? rela??o de longo prazo entre os mercados ? vista e futuro, bicausalidade entre os pre?os ? vista e futuro do boi, caf?, etanol e milho, e unicausalidade do pre?o futuro da soja sobre o pre?o ? vista. A raz?o ?tima de hedge foi estimada a partir de tr?s diferentes estrat?gias: regress?o linear por MQO, modelo BEKK-GARCH diagonal e modelo BEKK-GARCH diagonal com dummy de entresssafra. O modelo de regress?o por MQO apontou para a inefici?ncia de hedge, tendo em vista que as raz?es ?timas apresentadas foram muito baixas. O segundo modelo, que representa a estrat?gia de hedge din?mico, captou varia??es temporais na raz?o ?tima. A ?ltima estrat?gia de hedge n?o detectou diferencial de raz?es ?timas de hedge entre os per?odos de safra e entressafra, logo, ao contr?rio do que se esperava, o investidor n?o precisa aumentar seu investimento no mercado futuro durante a entressafra
| Identifer | oai:union.ndltd.org:IBICT/oai:repositorio.ufrn.br:123456789/12233 |
| Date | 08 October 2013 |
| Creators | Nogueira, Cinthya Muyrielle da Silva |
| Contributors | CPF:03040553607, http://lattes.cnpq.br/4968429773311336, Almeida, Vin?cio de Souza e, CPF:83906762300, http://lattes.cnpq.br/5861723290897089, Costa, Edward Martins da, CPF:43692109334, M?l, Anderson Luiz Rezende |
| Publisher | Universidade Federal do Rio Grande do Norte, Programa de P?s-Gradua??o em Administra??o, UFRN, BR, Pol?ticas e Gest?o P?blicas; Gest?o Organizacional |
| Source Sets | IBICT Brazilian ETDs |
| Language | Portuguese |
| Detected Language | English |
| Type | info:eu-repo/semantics/publishedVersion, info:eu-repo/semantics/masterThesis |
| Format | application/pdf |
| Source | reponame:Repositório Institucional da UFRN, instname:Universidade Federal do Rio Grande do Norte, instacron:UFRN |
| Rights | info:eu-repo/semantics/openAccess |
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