Análise da efetividade da estratégia de Hedge no mercado de café

Abstract

Given the different risk factors linked to coffee production, combined with the representativeness of Brazil in the production and export of this commodity, the present work aims to analyze the efficiency of the hedging strategy for a coffee producer that seeks a strategy to minimize the risk of your production. Using the maximum expected utility model, the monthly results of the producer's portfolio were analyzed from January 2010 to December 2021, both for futures contracts quoted on the B3 and for futures contracts quoted on the New York Stock Exchange. The results indicate that the hedging strategy carried out in its optimal ratio will promote more favorable conditions to the producer in relation to the reduction of risk and by obtaining the greatest possible utility, in both analyzed exchanges. In addition, it appears that the use of the hedging strategy in the coffee market is more efficient in relation to the non-adoption of this strategy, and also, in relation to the adoption of this strategy for 100% of the production.