Gestão do Risco de Preço de Café Arábica: uma Análise por meio do Comportamento da Base
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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.