Gestão do Risco de Preço de Café Arábica: uma Análise por meio do Comportamento da Base Reportar como inadecuado




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This paper analyzes the basis behavior for arabica coffee, aimingto help the design of hedging strategies. It was verified that thereare opportunities for both short and long hedging, but the opportunitiesfor long hedging are fewer and less profitable than for short hedging.Besides, the futures contracts for delivering in March and May are theriskiest because of the high level of uncertainty just before the harvestseason. It was verified also that basis strengthening is not associated tobasis risk, since in most of the cases larger profitability is associated tolower risk, and vice-versa. Finally, the results showed that the most profi-table short hedging strategies are the ones placed in the second semesterof every year.

Keywords: Risk administration ; arabic coffee ; Future Markets.

Subject(s): Agribusiness

Issue Date: Sep 30 2005

Publication Type: Journal Article

PURL Identifier: http://purl.umn.edu/156829 Published in: Brazilian Journal of Rural Economy and Sociology (Revista de Economia e Sociologia Rural-RESR), Volume 43, Number 3 Page range: 443-464

Total Pages: 22

JEL Codes: Q130

Series Statement: Volume 43

Number 03

Record appears in: Sociedade Brasileira de Economia, Administracao e Sociologia Rural (SOBER) > Brazilian Journal of Rural Economy and Sociology (Revista de Economia e Sociologia Rural-RESR)





Autor: Barros, Áther de Miranda ; Aguiar, Danilo Rolim Dias de

Fuente: http://ageconsearch.umn.edu/record/156829?ln=en







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