A taxa ótima de hedge no mercado brasileiro do boi gordo: uma abordagem com BEKK, DCC e BEKK com dummies de safra e entressafra

• Main Author: Lazzarini, Dárcio Aurélio Benetton
• Other Authors: Picchetti, Paulo
• Language: Portuguese
• Published: 2011
• Subjects: Economia; Hedging (Finanças); Bovino de corte - Preços - Brasil
• Online Access: http://hdl.handle.net/10438/8265

Submitted by Roberta Lorenzon ([e-mail]) on 2011-05-30T13:49:35Z No. of bitstreams: 1 63080100013.pdf: 448247 bytes, checksum: e1101f4c06c3e1f7e325cc1bca089896 (MD5) === Approved for entry into archive by Suzinei Teles Garcia Garcia([e-mail]) on 2011-05-30T13:55:29Z (GMT) No. of bitstreams: 1 63080100013.pdf: 448247 bytes, checksum: e1101f4c06c3e1f7e325cc1bca089896 (MD5) === Approved for entry into archive by Suzinei Teles Garcia Garcia([e-mail]) on 2011-05-30T13:56:45Z (GMT) No. of bitstreams: 1 63080100013.pdf: 448247 bytes, checksum: e1101f4c06c3e1f7e325cc1bca089896 (MD5) === Made available in DSpace on 2011-05-30T18:01:28Z (GMT). No. of bitstreams: 1 63080100013.pdf: 448247 bytes, checksum: e1101f4c06c3e1f7e325cc1bca089896 (MD5) Previous issue date: 2010-04-29 === This dissertation has three objectives. The first is to find out the best method to calculate the optimal hedge ratio of the brazilian market of live cattle. In order to do this, five models were tested: BEKK, DCC of Tse and Tsui (2002), DCC of Engle and Sheppard (2001), BEKK with crop dummy and BEKK with intercrop dummy. The second is to calculate the gap between the hedge ratio in the crop and in the intercrop, whereas the hedge ratio in the intercrop must be higher than in the crop because the higher uncertainty about a negative impact on the offer, which would affect negatively the cost of the slaughter houses. The third and last objective is to unveil the fact that the brazilian literature of the optimal hedge ratio is finding very short estimations of this hedge ratio compared with those used on the market. The Conclusion is that the DCC’s models have the best performance by the variance reduction criteria and Sharpe index increase criteria and that the hedge ratio in the intercrop must not be higher than in the crop. Another finding is that the gap of the intertemporal expectation caused by the contractual change implies a higher variance on the future return series, which decrease the hedge ratio. === Esta dissertação tem três objetivos. O primeiro é encontrar o melhor método para se calcular a taxa ótima de 'hedge' no mercado brasileiro do boi gordo. Para isso, foram testados cinco modelos: BEKK, DCC de Tse e Tsui (2002), DCC de Engle e Sheppard (2001), BEKK com dummy de safra e BEKK com dummy de entressafra. O segundo é calcular o diferencial de razões de 'hedge' entre a safra e entressafra, pois a taxa de 'hedge' na entressafra deve ser maior devido a uma maior incerteza sobre um possível choque de oferta, o que afetaria negativamente os custos dos frigoríficos. O terceiro e último objetivo é desvendar o porquê da literatura brasileira de taxa ótima de 'hedge' estar encontrando estimativas muito pequenas das taxas quando comparadas às realizadas no mercado. Conclui-se que os modelos DCC’s são os que, no geral, obtém um desempenho melhor pelo critério de redução de variância e aumento do índice de Sharpe e que a taxa de 'hedge' na entressafra não deve ser maior que na safra. Nota-se também que a quebra da expectativa intertemporal com a mudança de contratos faz com que a variância da série dos retornos futuros aumente muito, diminuindo assim a taxa de 'hedge'.