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| Content Provider | Semantic Scholar |
|---|---|
| Author | Sylvio, Francisco Gavotti, Malzoni |
| Copyright Year | 2012 |
| Abstract | The world sugar consumption has been increasing over the years, accompanied by a growing international trade. On the other hand prices when analyzed over a period of long-term exhibit a downward trend, decreasing margins. Market players entered in this scenario need to use instruments that guarantee future returns of coming years. The hedge is an important tool in managing market risk, ensuring stability of future income, anticipating the pricing of products to be marketed in the future. In this context, this paper evaluates the possibilities of gain from hedging activities by analyzing the behavior of the base and its market risk of crystallized sugar and sugar very high polarity (VHP). To calculate the base and its risk this paper employed futures prices traded on the Intercontinental Exchange (ICE) futures contract sugar n.11, world spot prices for sugar VHP also released by ICE and spot prices published by the Center of Advanced Studies in Applied Economics (CEPEA). It was found that there is a variation of the larger base on the market crystal against the market VHP, also accumulating higher gains. The basic risks are similar in the two markets studied. The expiration month that showed the largest cumulative gain with the lowest base risk was in May for both markets, hedge selling. In general the two markets present opportunities to hedge selling as much as for the purchase. Analyzing the hedging simulations lasting three to six months, it is observed that during the growing season, when lower stocks exert more pressure on prices, the purchase hedge accumulated gains. Opposite behavior is observed during the harvest period, that with the increase in inventories, the price tends to fall and hedging sales initiated during this period accumulate gains. Key words: Sugar, Base, Futures, Basis Risk, Sugarcane Industry |
| File Format | PDF HTM / HTML |
| Alternate Webpage(s) | http://bibliotecadigital.fgv.br/dspace/bitstream/handle/10438/9896/Dissertacao%20Final%20Impresss%EF%BF%BDo.pdf;jsessionid=C1882CB02ADE00D1ABB422CA5B237B03?sequence=1 |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
