文章基本信息

标题：Gestão do Risco de Preço de Café Arábica: uma Análise por meio do Comportamento da Base
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作者：Barros, Áther de Miranda ; Aguiar, Danilo Rolim Dias de
期刊名称：Journal of Food Distribution Research
印刷版ISSN：0047-245X
出版年度：2005
卷号：36
期号：9
页码：443-464
出版社：Food Distribution Research Society
摘要：This paper analyzes the basis behavior for arabica coffee, aiming to help the design of hedging strategies. It was verified that there are opportunities for both short and long hedging, but the opportunities for long hedging are fewer and less profitable than for short hedging. Besides, the futures contracts for delivering in March and May are the riskiest because of the high level of uncertainty just before the harvest season. It was verified also that basis strengthening is not associated to basis risk, since in most of the cases larger profitability is associated to lower risk, and vice-versa. Finally, the results showed that the most profi- table short hedging strategies are the ones placed in the second semester of every year.
关键词：Risk administration;arabic coffee;Future Markets.