ISSN impressa 0100-4956

ISSN eletrônica (on line) 2357-9226

EFETIVIDADE DAS OPERAÇÕES DE HEDGE PARA O ETANOL DE PERNAMBUCO

E ALAGOAS NO MERCADO FUTURO DA BM&FBOVESPA

Hedging effectiveness for ethanol of the Pernambuco and Alagoas

in futures market of the BM&FBovespa

Frederico Victor Franco

Administrador de Empresas. Membro/Pesquisador do Grupo de Pesquisa “Inteligência em Finanças e Mercados” -
Universidade Federal de Uberlândia, - CNPQ/UFU. fredvictor_itba@hotmail.com.

Odilon José de Oliveira Neto

Bacharel e dDoutor em Administração de Empresas (FGV/SP). eProfessor de Finanças da UFU. professorodilon@yahoo.com.br.

Waltuir Batista Machado

Administrador.e Contador. Mestre em Agronegócio pela Universidade Federal de Goiás (- UFG). Professor de Finanças
na Faculdade Alfredo Nasser (UNIFAN). waltuir@unifan.edu.br.

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Recebido em 10 de agosto de 2015
Aprovado em 13 de setembro de 2016
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Rev. Econ. NE, Fortaleza, v. 47, n. 1, p. 49-64, jan./mar., 2016
49
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SRU PHLR GH FRQWUDWRV SDGURQL]DGRV SRU ORWH
quantidade, data de compra e venda, moeda e
forma de cotação, bem como por um preço futuro
PHUFDGRIXWXUR&90
'LDQWHGRSURSRVWRUHVVDOWDVHDLPSRUWkQFLD
GH VH DYDOLDU R GHVHPSHQKR GDV RSHUDo}HV GH
proteção no mercado futuro a partir da medida
de efetividade de hedging, que evidencia a
FDSDFLGDGHGHFREHUWXUDGRULVFRSHODQHJRFLDomR
SUHHVWDEHOHFLGR +DUGDNHU HW DO  UHVVDOWDP GH FRQWUDWRV IXWXURV ),/(1, 0$548(6
TXH R PHUFDGR IXWXUR WHP R REMHWLYR GH FREULU 0$&+$'2
RV FXVWRV GH SURGXomR PLQLPL]DQGR R ULVFR GR
SUHoR j YLVWD R TXDO HVWi GLUHWDPHQWH OLJDGR D 3.1 Pesquisa sobre o hedging agrícola
HVSHFXODo}HVRXSURYHQGROXFURV
1R %UDVLO YiULRV HVWXGRV VREUH HIHWLYLGDGH
Assim sendo, é nesse mercado que ocorre
de hedging de commodities DJUtFRODV IRUDP
D MXQomR GH LQWHUHVVHV GH FRPSUD H YHQGD GH
UHDOL]DGRVWHQGRRVSULQFLSDLVVHFRQFHQWUDGRQD
FRQWUDWRVIXWXURVHQWUHDJHQWHVHFRQ{PLFRVWHQGR
efetividade do hedgeVREUHRERLJRUGRDVRMDH
RVHVSHFXODGRUHVDIXQomRYLWDOGHGDUOLTXLGH]DR
o café.
mercado, e o hedger, DJHQWH YLQFXODGR DR DWLYR
Sobre o hedge com a commodity café
ou commodity, busca manter-se seguro contra os
QR %UDVLO GHVWDFDPVH RV HVWXGRV GH )LOHQL
riscos de preço que o mercado à vista oferece, por
0DUTXHVH0DFKDGR3LQWRH6LOYD
meio do hedge+8//&90
1RJXHLUD $JXLDU H /LPD  6LOYD $JXLDU
1HVVD FRQMXQWXUD R hedging HQYROYH DV
H/LPD)RQWHV&DVWUR-~QLRUH$]HYHGR
RSHUDo}HV GH FRPSUD RX YHQGD GRV FRQWUDWRV
H0OOHU0RXUDH/LPD
futuros em substituição à posição no mercado
,PSRUWDQWH UHVVDOWDU R HVWXGR GH )LOHQL
ItVLFRjYLVWDFRPREMHWLYRGHJHUHQFLDURULVFR
0DUTXHV H 0DFKDGR  TXH DQDOLVRX RV
GR SUHoR FRQWUD DV LQFHUWH]DV UHODFLRQDGDV DR
SUHoRVGRFDIpSURGX]LGRQDVSULQFLSDLVUHJL}HVGR
mercado da commodity 0$548(6 0(//2
(VWDGRGH0LQDV*HUDLVFRPGDGRVGLiULRVHQWUH
0$57,1(6),/+2
MDQHLURGHHGH]HPEURGH1HVVHHVWXGR
)RQWHV&DVWUR-~QLRUH$]HYHGRH+XOO
FRQVWDWRXVH D EDL[D HIHWLYLGDGH QD FREHUWXUD GR
GHVFUHYHPTXHDVRSHUDo}HVGHhedge são
ULVFR SDUD D UHJLmR GD =RQD GD 0DWD H XP QtYHO
DIHWDGDVSHODVYDULDo}HVGDEDVHDTXDOFRQVLVWH
VLJQL¿FDWLYRGHUHGXomRGRULVFRGHH
QRUHVXOWDGRGDGLIHUHQoDHQWUHRSUHoRjYLVWDQD
UHVSHFWLYDPHQWH SDUD R FDIp FRPHUFLDOL]DGR QR
praça produtora e o preço no mercado futuro na
7ULkQJXOR0LQHLURH$OWR3DUDQDtED
data do vencimento do contrato.
1HVVD PHVPD OLQKD GH LQYHVWLJDomR p
'HDFRUGRFRP)LOHQL0DUTXHVH0DFKDGR
importante destacar, ainda sobre a commodity de
 D EDVH VRIUH YDULDo}HV GHYLGR jV
FDIpRHVWXGRGH)RQWHV&DVWUR-~QLRUH$]HYHGR
LQFHUWH]DV TXH DIHWDP GLUHWDPHQWH FDGD UHJLmR
UHDOL]DGRHQWUHVHWHPEURGHHMXOKR
RXVHMDHVVHVYDORUHVGLIHUHPVHHPYLUWXGHGDV
GH  HP UHJL}HV GH 0LQDV *HUDLV H 6mR
SDUWLFXODULGDGHV GDV SUDoDV SURGXWRUDV 1HVVH
3DXOR XWLOL]DQGRVH GDGRV GLiULRV 9HUL¿FRXVH
VHQWLGR D HVWLPDWLYD GH YRODWLOLGDGH GD EDVH
QDUHJLmRGH7UrV3RQWDV0*XPEDL[RULVFRGH
DWp D GDWD GR YHQFLPHQWR p GH¿QLGD FRPR ULVFR
EDVHVHFRPSDUDGRDRXWUDVUHJL}HVUHVVDOWDQGR
GH EDVH VHQGR HVVH FDOFXODGR GH DFRUGR FRP D
se que a efetividade do hedging depende das
HTXDomR  GR LWHP  H VH UHODFLRQD FRP DV
SDUWLFXODULGDGHVGHFDGDUHJLmR
LQFHUWH]DVGRPHUFDGRItVLFR/RJRDYRODWLOLGDGH
GH SUHoRV H DMXVWHV VmR GHWHUPLQDQWHV SDUD RV

Rev. Econ. NE, Fortaleza, v. 47, n. 1, p. 49-64, jan./mar., 2016

54
 Efetividade das operações de hedge para o etanol de Pernambuco e Alagoas no mercado futuro da BM&FBovespa

A commodity ERL JRUGR WDPEpP p REMHWR GH H6KLNLGDHVWLPRXHFRPSDURXDUD]mRHD

SHVTXLVDGHLQ~PHUDVLQYHVWLJDo}HVVREUHhedge efetividade de hedge SDUD R Do~FDU EUDVLOHLUR QD
UHDOL]DGDVQR%UDVLO'HQWUHHVVDVLQYHVWLJDo}HV %0 ) QD /RQGRQ 6WRFN ([FKDQJH /6( H QD
GHVWDFDPVHDVGH3HUREHOOLH%LWHQFRXUW 1HZ <RUN %RDUG RI 7UDGH 1<%27 2 HVWXGR
6LOYDH6iIDGL DEUDQJHRSHUtRGRFRPSUHHQGLGRHQWUHMDQHLURGH
(P SDUWLFXODU %LWHQFRXUW 6LOYD H 6iIDGL  H VHWHPEUR GH $ HVWLPDWLYD GD UD]mR
 D¿UPDP TXH VH GHYH FRQVLGHUDU QDV de hedgeyWLPDIRLFRQVHJXLGDSHODDSOLFDomRGR
estratégias de hedge GR ERL JRUGR D GLQkPLFD 0RGHORGH0\HUVH7KRPSVRQ
GDV HVWLPDWLYDV H VXDV UHVSHFWLYDV DOWHUDo}HV 'LDQWH GLVVR RV UHVXOWDGRV DOFDQoDGRV SHORV
DR ORQJR GR WHPSR 2V DXWRUHV UHVVDOWDP DLQGD WHVWHVHPStULFRVUHDOL]DGRVSRU5DDEH6WDGXWRH
TXH FDVR VH VXEHVWLPHP DV YDULDo}HV GD UD]mR
de hedge SRVLo}HV IXWXUDV SRGHP VHU WRPDGDV
OHYDQGRjEDL[DHIHWLYLGDGHHFRQVRDQWHUHGXomR
da proteção do risco das carteiras.
(QWUH DV SHVTXLVDV GH hedge SDUD VRMD H
PLOKRQR%UDVLOGHVWDFDPVHRVHVWXGRVGH6LOYD
6KLNLGDLQGLFDUDPTXHDFDUWHLUDSURWHJLGD
SHORXVRGRVFRQWUDWRVIXWXURVGD%0 )DOFDQoRX
DSUR[LPDGDPHQWHGHHIHWLYLGDGHFRP
GH UD]mR yWLPD HQTXDQWR TXH SDUD /6( IRL
GH UHVSHFWLYDPHQWH  H  1D 1\ERW D
efetividade de hedgeFRPSXWDGDIRLGH
$JXLDUH/LPD0DUWLQVH$JXLDU (QWUH RV SRQWRV PDLV UHOHYDQWHV YHUL¿FDGRV
6DQWRV %RWHOKR )LOKR H 5RFKD  7RQLQ QDSHVTXLVDGH5DDEH6WDGXWRH6KLNLGD
%UDJDH&RHOKR2OLYHLUD1HWR)LJXHLUHGR GHVWDFDVHDGLIHUHQoDVLJQL¿FDWLYDGDUHGXomRGR
H0DFKDGRH0DLDH$JXLDU ULVFRGDFDUWHLUDSURWHJLGDSHORXVRGHFRQWUDWRV
1RVHVWXGRVUHODFLRQDGRVDRPHUFDGRGDVRMD IXWXURVGD%0 )TXDQGRFRPSDUDGDVFRPRXVR
D DQiOLVH UHDOL]DGD SRU 0DLD H $JXLDU  GHFRQWUDWRVIXWXURVGD/6(H1\ERW
LQFOXLDYHUL¿FDomRGRUHVXOWDGRGDVHVWUDWpJLDVGH 6RVQRVNL H 5LEHLUR  HP VHX HVWXGR
hedge SDUD DV GH] SULQFLSDLV UHJL}HV SURGXWRUDV DQDOLVDUDP HVWUDWpJLDV GH SURWHomR GH SUHoRV GR
GH VRMD GR %UDVLO FRP FRQWUDWRV IXWXURV GH HWDQRO Do~FDU H VXESURGXWRV GH DFRUGR FRP DV
VRMD GD %0 ) H &%27 &KLFDJR %RDUG RI UHVWULo}HV GH SURGXomR HQWUH MXOKR GH  DWp
7UDGHDEUDQJHQGRRVDQRVGHD$V
GLIHUHQoDV HQWUH RV PHUFDGRV IRUDP FDOFXODGDV
para os distintos vencimentos para cada região.
2V UHVXOWDGRV GHPRQVWUDUDP TXH RV hedgers de
FRPSUD WrP PDLRUHV RSRUWXQLGDGHV GH UHWRUQRV
PDVRVULVFRVHQYROYLGRVQDVRSHUDo}HVGHhedge
GH FRPSUD WDPEpP VmR PDLRUHV ,GHQWL¿FRXVH
DLQGDTXHRVFRQWUDWRVGHVRMDHPJUmRGD&%27
IHYHUHLUR GH  2 HVWXGR FRQFOXLX TXH DV
RSHUDo}HV GH hedge SRGHP VHU XWLOL]DGDV FRPR
instrumento para redução de risco para o preço
de venda à vista e contratos futuros feitos com a
%0 )%RYHVSD
$OJXQV HVWXGRV LQWHUQDFLRQDLV VREUH
efetividade de hedging de commodities
DJUtFRODV WDPEpP PHUHFHP GHVWDTXH HP
apresentam diferentes retornos em virtude do SDUWLFXODURHVWXGRGH%ULQNHU HWDOTXH
período de hedgingHGRFRQWUDWRXWLOL]DGR DSRQWRX D LPSRUWkQFLD GD VLPLODULGDGH HQWUH DV
1HVVD PHVPD OLQKD GH DQiOLVH PDV WHQGR HVSHFL¿FDo}HVGRFRQWUDWRHDVFDUDFWHUtVWLFDVGR
FRPR REMHWR GH HVWXGR R PHUFDGR GR PLOKR DWLYR D VHU SURWHJLGR XPD YH] TXH D PLWLJDomR
2OLYHLUD 1HWR )LJXHLUHGR H 0DFKDGR  GR ULVFR SHOR XVR GR FRQWUDWR IXWXUR GR PLOKR
FRQFOXtUDPTXHDVRSHUDo}HVGRhedge QD%0 ) SULQFLSDO PDWpULDSULPD GHVWLQDGD j SURGXomR
para a commodity PLOKR GR HVWDGR GH *RLiV GH HWDQRO QRV (VWDGRV 8QLGRV IRL HP WRUQR GH
DOFDQoDUDP XPD HIHWLYLGDGH HP PLQLPL]DomR  R TXH IRL VXSHULRU DR DWLQJLGR SHOR XVR
GR ULVFR HP WRUQR GH  DSHVDU GD PDLRU GR FRQWUDWR IXWXUR GD VRMD GD &KLFDJR %RDUG RI
YDULDELOLGDGH GRV SUHoRV GXUDQWH D VDIUD (VVH 7UDGH&%27
estudo abrangeu o período compreendido entre Sob o mesmo ponto de vista da investigação
PDLRGHHRXWXEURGH
Apesar de ser um dos principais mercados
DJUtFRODV GR %UDVLO R PHUFDGR VXFURDOFRROHLUR p
XP GRV TXH DSUHVHQWD PHQRU YROXPH GH HVWXGRV
UHODFLRQDGRVjJHVWmRGRULVFRSUHoRV1RTXHWDQJH
à commodityDo~FDURWUDEDOKRGH5DDEH6WDGXWR
GH%ULQNHUHWDO. +RXVWRQH$PHV
YHUL¿FDUDP TXH D FDUrQFLD GH FRQWUDWRV IXWXURV
não impedia que o gerenciamento do risco de
SUHoRVIRVVHUHDOL]DGRSRUPHLRGRhedging com
contratos futuros de diferentes commodities
DJUtFRODV$VVLP VHQGR RV UHVXOWDGRV GRV WHVWHV
Rev. Econ. NE, Fortaleza, v. 47, n. 1, p. 49-64, jan./mar., 2016
55
Frederico Victor Franco, Odilon José de Oliveira Neto e Waltuir Batista Machado

LQGLFDUDP TXH D UD]mR GH hedge yWLPD FRP DUPD]HQDPHQWRGHHWDQROFRPEXVWtYHOGR%UDVLO

FRQWUDWRVIXWXURVGHIDUHORGHVRMDSHUPLWLXXPD (VVH LQGLFDGRU UHIHUHVH j PpGLD SRQGHUDGD GRV
PLWLJDomRGRULVFRGHSUHoRVGRJO~WHQGHPLOKR SUHoRV GRV QHJyFLRV FRQFOXtGRV SHODV SULQFLSDLV
SUy[LPDDQRPHUFDGRjYLVWD distribuidoras e unidades produtoras em estudo
$ FREHUWXUD GR ULVFR HVWLPDGD SHOR hedging %0 )%29(63$
QRHVWXGRGH+RXVWRQH$PHVpLQFOXVLYH As séries temporais de preços à vista e futuros
VXSHULRU jTXHOD DWLQJLGD HP PHUFDGRV IXWXURV GR HWDQRO KLGUDWDGR IRUDP WUDQVIRUPDGDV HP
DJUtFRODVDPHULFDQRVFRPRYHUL¿FDGRQDSHVTXLVD ORJDULWPRV H HP VHJXLGD IRUDP RUJDQL]DGDV
GH %HUD *DUFLD H 5RK  (VVD SHVTXLVD formando séries temporais. Posteriormente, o teste
HVWLPRX XPD FREHUWXUD GR ULVFR GH SUHoRV LJXDO GD UDL] XQLWiULD DXPHQWDGR GH 'LFNH\ H )XOOHU
DSDUDRPLOKRHSDUDDVRMDQR(VWDGR
GH,OOLQRLV(VWDGRV8QLGRVFRPDUD]mRGHhedge
GHYDULkQFLDPtQLPDFRPFRQWUDWRVIXWXURVGHVVDV
commoditiesQD&%27
Diferentemente dos estudos anteriormente
FLWDGRV H Mi UHDOL]DGRV HVWH HVWXGR YLVD
DYDOLDU XPD LPSRUWDQWH commodity EUDVLOHLUD
HVSHFL¿FDPHQWH R HWDQRO DQDOLVDQGR DV
principais praças produtoras da região nordeste,
GLUHFLRQDQGRVH SULQFLSDOPHQWH SDUD D JHVWmR
GRSUHoRGHFRPHUFLDOL]DomRHDSRVVLELOLGDGHGH
FREHUWXUDGRULVFRQD%0 )%RYHVSDDSDUWLUGR
 IRL DSOLFDGR jV VpULHV GH SUHoRV j YLVWD H
IXWXURV FRP D ¿QDOLGDGH GH YHUL¿FDU D SUHVHQoD
RX QmR GD UDL] XQLWiULD H DSRQWDU D RUGHP GH
integração entre as séries, passos importantes para
FRQVHFXomRGRWHVWHGDKLSyWHVHGHHIHWLYLGDGHGR
mercado futuro na mitigação do risco.
&RPD¿QDOLGDGHGHDQDOLVDURFRPSRUWDPHQWR
e as respectivas diferenças entre os preços à vista
H IXWXURV IRUDP LQLFLDOPHQWH HVWLPDGRV D EDVH
PpGLD JHUDO H R ULVFR GH EDVH SDUD RV TXDWUR
HVWDGRV TXH ID]HP SDUWH GHVVH HVWXGR $VVLP
FRPR QRV HVWXGRV GH )RQWHV &DVWUR -~QLRU H
FRQWUDWRIXWXURGRHWDQRO $]HYHGR  H 2OLYHLUD 1HWR )LJXHLUHGR H
0DFKDGRDVSULQFLSDLVHVWLPDWLYDVIRUDP
4 PROCEDIMENTOS METODOLÓGICOS REWLGDV SHOD DSOLFDomR GDV HTXDo}HV  H  D
seguir:
2 SUHVHQWH HVWXGR VH FDUDFWHUL]D FRPR
GHVFULWLYRGRWLSRTXDQWLWDWLYRHEXVFDHVWDEHOHFHU
XPDUHODomRGHFDXVDHHIHLWRHQWUHDVYDULiYHLV
SDUDDWLQJLURREMHWLYRSURSRVWR
$ SHVTXLVD WHYH LQtFLR FRP R OHYDQWDPHQWR
das séries de preços médios futuros na
%0 )%RYHVSD H j YLVWD VHQGR D RUGHP GH
H[SRVLomR GRV SUHoRV GR HWDQRO QRV HVWDGRV
GH¿QLGDSHORYROXPHGHSURGXomRGHHWDQROSDUD 2VGDGRVGRVSUHoRVIXWXURVHjYLVWDGRHWDQRO
RVHVWDGRVGH3HUQDPEXFRH$ODJRDVQRSHUtRGR KLGUDWDGR IRUDP RUJDQL]DGRV IRUPDQGR VpULHV
GHIHYHUHLURGHHRXWXEURGH WHPSRUDLV FRP R REMHWLYR GH GHWHFWDU R QtYHO
As séries de preços à vista e futuros são de estacionariedade de todas as séries presentes
FRWDGDV HP UHDLV SRU PHWUR F~ELFR 5P), e QRVTXDWURHVWDGRVDSDUWLUGRWHVWHGDUDL]XQLWiULD
IRUDP REWLGDV QR HQGHUHoR HOHWU{QLFR GR &HQWUR DXPHQWDGRGH'LFNH\H)XOOHU XWLOL]DQGRRV
GH (VWXGRV $YDQoDGRV HP (FRQRPLD $SOLFDGD FiOFXORVGDVIXQo}HVGHDXWRFRUUHODomRDQDOLVDQGR
&HSHD GD (VFROD 6XSHULRU GH $JULFXOWXUD HPQtYHOHSULPHLUDGLIHUHQoD
/XL] GH 4XHLUR] (VDOT GD 8QLYHUVLGDGH GH 8PDYH]HVWLPDGRVDEDVHRULVFRGHEDVHH
6mR 3DXOR 863 5HVVDOWDVH TXH QRV SUHoRV a estacionariedade das séries, que são parte dos
GLVSRQLELOL]DGRV QmR VmR FRQWDELOL]DGRV R REMHWLYRVHVSHFt¿FRVSURSRVWRVQHVWHWUDEDOKRR
,PSRVWR VREUH &LUFXODomR GH 0HUFDGRULDV H HVWXGR VHJXH HP GLUHomR DR REMHWLYR SULQFLSDO
6HUYLoRV,&06HRIUHWH FRP D PHQVXUDomR GD UD]mR GH hedge yWLPD
(P UHODomR DRV SUHoRV IXWXURV GR HWDQRO HVWLPDGD D SDUWLU GD DSOLFDomR GR PRGHOR GH
D SUDoD GR LQGLFDGRU XWLOL]DGR SDUD R HWDQRO 0\HUV H 7KRPSVRQ  TXH p UHSUHVHQWDGR
KLGUDWDGRGD(VDOT%0 )%RYHVSDpRPXQLFtSLR SHODHTXDomR
GH 3DXOtQLD 63 PDLRU FHQWUR GH GLVWULEXLomR H

Rev. Econ. NE, Fortaleza, v. 47, n. 1, p. 49-64, jan./mar., 2016

56
 Efetividade das operações de hedge para o etanol de Pernambuco e Alagoas no mercado futuro da BM&FBovespa

 2V GDGRV H UHVXOWDGRV VHUmR DQDOLVDGRV

conforme o rigor estatístico dos testes.
Sendo:
, é o SUHoR D j YLVWD GR HWDQRO na primeira 5 RESULTADOS E DISCUSSÕES
diferença no momento t
, é o SUHoR jD YLVWD GR HWDQRO na primeira 5.1 Comportamento dos preços do etanol
diferença no momento t-i; $ DSUHVHQWDomR GRV GDGRV H UHVXOWDGRV
, é o SUHoRIXWXURGRHWDQRO na primeira diferença; GD SHVTXLVD WHP LQtFLR FRP D H[SRVLomR GR
, é o SUHoRIXWXURGRHWDQRO no momento t-i; FRPSRUWDPHQWR GRV SUHoRV j YLVWD GR HWDQRO
_pDFRQVWDQWHGDUHJUHVVmR hidratado para os estados de Pernambuco e
b, é a UD]mRGHhedge yWLPDh) $ODJRDV H WDPEpP RV SUHoRV IXWXURV GR HWDQRO
µt, é o termo de erro.
$SyVDREWHQomRGDUD]mRGHhedge yWLPDIRL
UHDOL]DGDDHVWLPDWLYDGDHIHWLYLGDGHGRhedging
KLGUDWDGRQD%0 )%RYHVSD*Ui¿FR
*Ui¿FR± 9DULDomRGRVSUHoRVjYLVWDHIXWXURV
GRHWDQROKLGUDWDGRHPUHDLVSRUPH-
SRU PHLR GR PRGHOR GH (GHULQJWRQ  TXH
WURF~ELFR
FRUUHVSRQGHDRGHVHPSHQKRHPPLQLPL]DomRGR
ULVFRPHQVXUDGRDSDUWLUGDHTXDomR

Onde: e é a efetividade do hedging

p D YDULkQFLD GD FDUWHLUD QmR SURWHJLGD
pDYDULkQFLDPtQLPD
GDFDUWHLUDSURWHJLGD pDYDULkQFLDGRVSUHoRV
IXWXURV pDFRYDULkQFLDHQWUHSUHoRVjYLVWDH
)RQWH(ODERUDGRSHORVDXWRUHVFRPEDVHnos em dados do
IXWXURVHhpDUD]mRGHhedgeyWLPD
2V UHVXOWDGRV SDUD D HIHWLYLGDGH GR hedging
SHUPLWLUDP WHVWDU D KLSyWHVH QXOD H0) e a
DOWHUQDWLYDH1).
$VVLPVHQGRDVKLSyWHVHVVmR DSUHVHQWDUDP GLIHUHQoD VLJQL¿FDWLYD HP UHODomR
H0: e < 0,80, a operação de hedge no mercado
IXWXURQmRpHIHWLYDRXVHMDQmRPLWLJDRULVFRGH
SUHoRVDXPQtYHOPtQLPRGHVHMiYHO
H1: H•, a operação de hedge no mercado
IXWXURpHIHWLYDRXVHMDPLWLJDVLJQL¿FDWLYDPHQWH
o risco de preços.
Dessa forma, o indicador mínimo de
HIHWLYLGDGH GR WHVWH GH KLSyWHVH WHUi FRPR EDVH
D GHOLEHUDomR GD &90 1ž  H[SRQGR TXH
RV UHVXOWDGRV VXSHULRUHV D  LQGLFDP TXH DV
RSHUDo}HVGHhedgeVmRH¿FD]HV1RHQWDQWRHP
se tratando de medida de administração do risco,
R QtYHO Pi[LPR GH HIHWLYLGDGH GDV RSHUDo}HV
de hedge p  R TXH FRUUHVSRQGH D  GH
mitigação dos riscos de preços.
2VWHVWHVHPStULFRVIRUDPUHDOL]DGRVDSDUWLU
do uso do software Eviews HMicrosoft Excel
&(3($
&RP UHODomR DRV HVWDGRV GH 3HUQDPEXFR
H $ODJRDV YHUL¿FRXVH TXH RV SUHoRV j YLVWD
aos preços futuros na data de vencimento dos
FRQWUDWRV R TXH HP SDUWH SRGH VHU H[SOLFDGR
SHODV SDUWLFXODULGDGHV GD SURGXomR GLVWULEXLomR
HFRPHUFLDOL]DomRGRHWDQROQDUHJLmR1RUGHVWH
(P FRQWLQXLGDGH j DQiOLVH GRV SUHoRV à
vista e futuros, foram estimadas as estatísticas
GHVFULWLYDV DSUHVHQWDGDV QD 7DEHOD  $
YHUL¿FDomR GD HVWDWtVWLFD GHVFULWLYD GRV SUHoRV
SHUPLWHXPDDYDOLDomRTXDQWRjVXDYRODWLOLGDGH
WHQGrQFLDFHQWUDOHGLVWULEXLomRGRVGDGRV1RWD
VH TXH QRV HVWDGRV GH 3HUQDPEXFR H $ODJRDV
os preços médios à YLVWD GR HWDQRO HVWLYHUDP
DFLPDGRVSUHoRVIXWXURVHPWRUQRGHH
respectivamente.
Rev. Econ. NE, Fortaleza, v. 47, n. 1, p. 49-64, jan./mar., 2016
57
Frederico Victor Franco, Odilon José de Oliveira Neto e Waltuir Batista Machado

7DEHOD± (VWDWtVWLFDGHVFULWLYDGRVSUHoRVjYLVWD 3HUQDPEXFR H$ODJRDV HVWLPDGRV SRU PHLR GDV

HIXWXURVGRHWDQROKLGUDWDGRHQWUHIH- HTXDo}HVH
YHUHLURGHHRXWXEURGH &RQIRUPH SRGH VHU REVHUYDGR QR *Ui¿FR 
0HUFDGR
QDGDWDGRYHQFLPHQWRGRVFRQWUDWRVJHUDOPHQWH
(VWDWtVWLFD $ODJRDV
IXWXUR
Pernambuco
RVSUHoRVIXWXURVVHHQFRQWUDPDEDL[RGRVSUHoRV
0pGLD    físicosGRVHVWDGRVGH3HUQDPEXFRH$ODJRDV(VVD
0HGLDQD    VLWXDomRDSRQWDTXHpFRPXPRIRUWDOHFLPHQWRGD
0i[LPR    EDVH HP 3HUQDPEXFR H HP $ODJRDV QD GDWD GH
0tQLPR    OLTXLGDomRGRVFRQWUDWRVIXWXURV
Desvio-Padrão   
  
Assimetria
*Ui¿FR± 9DORUGDEDVHSDUD3HUQDPEXFRH$OD-
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2EVHUYDo}HV   

Fonte: (ODERUDGR SHORV DXWRUHV FRP EDVH nosHP GDGRV GR &HSHD


A associação entre os preços à vista e futuros

GR HWDQRO KLGUDWDGR IRL DQDOLVDGD D SDUWLU GR
FRH¿FLHQWH GH FRUUHODomR GH Pearson, conforme
SRGHVHUREVHUYDGRQD7DEHOD(VVDHVWLPDWLYD
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UHODomRHQWUHDVYDULiYHLVSHUPLWHXPDDYDOLDomR
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preços. Fonte: (ODERUDGRSHORVDXWRUHVFRPEDVHQRVHPGDGRVGR&HSHD

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$ UHVSHLWR GD EDVH IRL LGHQWL¿FDGR SDUD R
0HUFDGR
Pernambuco $ODJRDV
PHUFDGR GR HWDQRO QR HVWDGR GH 3HUQDPEXFR
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1
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Pernambuco 1 *
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$ODJRDV 1
GH  H QR VHJXQGR TXDGULPHVWUH GH 
)RQWH(ODERUDGRSHORVDXWRUHVFRPEDVHQRVHPGDGRVGR&HSHD períodos em que essa praça apresentou preço
à YLVWD DSUR[LPDGDPHQWH  VXSHULRU DRV
&RPEDVHQRVUHVXOWDGRVGD7DEHODSRGH SUHoRV GH OLTXLGDomR GRV FRQWUDWRV IXWXURV QD
VH QRWDU TXH RV SUHoRV j YLVWD GR HWDQRO QRV %0 )%RYHVSD9DOHUHVVDOWDUHQWUHWDQWRTXHD
estados de Pernambuco (r H $ODJRDV base permaneceu fraca em boa parte do período
(r DSUHVHQWDP EDL[D FRUUHODomR SRVLWLYD
entre os preços à vista e preços futuros na data
GR YHQFLPHQWR GRV FRQWUDWRV (QWUHWDQWR YDOH
UHVVDOWDU TXH RV SUHoRV j YLVWD QRV HVWDGRV GH
3HUQDPEXFR H $ODJRDV VmR VLJQL¿FDWLYDPHQWH
HP HVWXGR SULQFLSDOPHQWH HQWUH GH]HPEUR GH
HPDUoRGH
2 PHUFDGR GH HWDQRO GR HVWDGR GH $ODJRDV
também foi marcado por períodos distintos quanto
DRFRPSRUWDPHQWRGRVSUHoRVjYLVWDHPUHODomR
associados (r
5.2 Base e risco de base
Dando continuidade à discussão sobre o
comportamento dos preços à vista e futuros do
HWDQRODSUHVHQWDPVHQR*Ui¿FRRVUHVXOWDGRV
HQFRQWUDGRVSDUDRVYDORUHVSHUFHQWXDLVGDEDVH
H ULVFR GH EDVH SDUD R HWDQRO QRV HVWDGRV GH
Rev. Econ. NE, Fortaleza, v. 47, n. 1, p. 49-64, jan./mar., 2016
58
DRV SUHoRV IXWXURV RUD FRP D EDVH IRUWDOHFLGD
outrora com a base enfraquecida. Assim como no
caso do mercado pernambucano, o mercado do
HWDQRO GR HVWDGR GH$ODJRDV DSUHVHQWRXVH FRP
D EDVH VLJQL¿FDWLYDPHQWH IRUWDOHFLGD DSHQDV QRV
PHVHV GH PDLR H MXOKR GH  H QR VHJXQGR
TXDGULPHVWUHGH
4XDQWR DRV SHUtRGRV HP TXH RV SUHoRV j YLVWD
QRPHUFDGRGRHWDQROGH$ODJRDVHVWLYHUDPDEDL[R
GRVSUHoRVIXWXURVQD%0 )%RYHVSDUHVVDOWDPVH
 Efetividade das operações de hedge para o etanol de Pernambuco e Alagoas no mercado futuro da BM&FBovespa
RVSHUtRGRVFRPSUHHQGLGRVHQWUHGH]HPEURGH
HDEULOGHHVHWHPEURGHHDEULOGH
quando a base encontrou-se enfraquecida, em média,
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DQDOLVDGR R ULVFR GH EDVH GR HWDQRO QR HVWDGR GH
$ODJRDVIRLHVWLPDGRHPYDORUSUy[LPRDR
HVWLPDGRSDUDRPHUFDGRGRHWDQROGH3HUQDPEXFR
5.3 Teste de estacionariedade das séries de
preços
'H DFRUGR FRP R TXH IRL H[SRVWR QD
PHWRGRORJLDDSDUWLUGRWHVWHGH'LFNH\H)XOOHU
SRVVtYHO REVHUYDU TXH VpULHV GH SUHoRV j YLVWD H
IXWXURV DFXVDUDP SUHVHQoD GH UDL] XQLWiULD (P
FRQWUDSDUWLGDDSyVDDSOLFDomRGRWHVWH$')QD
SULPHLUD GLIHUHQoD SDUD FRUULJLU R SUREOHPD GD
DXWRFRUUHODomRVHULDOGRVSUHoRVjYLVWDHIXWXURV
IRLFRQVWDWDGDDDXVrQFLDGHUDL]XQLWiULDRXVHMD
na primeira diferença, foi apontado que as séries
VmRHVWDFLRQiULDVHLQWHJUDGDVGHRUGHPXP
&RQIRUPH SRGH VHU REVHUYDGR RV YDORUHV
da estatística d de Durbin e Watson (DW) se
DSUHVHQWDUDPPXLWRSUy[LPRVDLQGLFDQGRTXH
DVVpULHVGHSUHoRVQmRDSUHVHQWDPSUREOHPDVGH
DXWRFRUUHODomRQDSULPHLUDGLIHUHQoD
DXPHQWDGR $') H[SRVWR QD 7DEHOD  IRL

7DEHOD± 7HVWHGDUDL]XQLWiULDDXPHQWDGRGH'LFNH\H)XOOHUSDUDRVSUHoRVjYLVWDHSUHoRVIXWXURVGR
HWDQROKLGUDWDGR
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(VWDWtVWLFDt p-valort AIC SBC HQC DW
Preços $')   
0HUFDGR 1      
  
Futuro 1ªDif*  0,0000    
1      
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1ªDif*  0,0000    
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)RQWH(ODERUDGRSHORVDXWRUHVFRPEDVHHPQRVGDGRVGR&HSHD
1RWDV$')WHVWHGHUDL]XQLWiULDDXPHQWDGRGH'LFNH\H)XOOHU$,&FULWpULRGHLQIRUPDomRGH$NDLNH6%&FULWpULRGHLQIRUPDomRED\H-
VLDQRGH6FKZDU]- +4&FULWpULRGHLQIRUPDomRGH+DQQDQ4XLQQ-':HVWDWtVWLFDGGH'XUELQH:DWVRQ- 1HTXDomRGRWHVWHHP
QtYHO'LIHTXDomRGRWHVWHQDSULPHLUDGLIHUHQoDH HVWDWLVWLFDPHQWHVLJQL¿FDQWHDRQtYHOGH

$RH[DPLQDUD7DEHODRVYDORUHVHVWLPDGRV 'HVVD IRUPD RV UHVXOWDGRV GRV WHVWHV

SHODHVWDWtVWLFDoGRWHVWH$')HPQtYHOSDUDD DSUHVHQWDGRV QD7DEHOD  VXJHUHP TXH DV VpULHV
série de preços futuros (o   H VpULHV GH DQDOLVDGDV QmR SRVVXHP UDL] XQLWiULD H QmR
preços à vista para os estados de Pernambuco (o= DSUHVHQWDPSUREOHPDVGHDXWRFRUUHODomRUHVLGXDO
H$ODJRDVo VmRPDLRUHVTXH na primeira diferença. Portanto, ao considerar
RVYDORUHVo FUtWLFRVDRQtYHOGHH RV UHVXOWDGRV REWLGRV QR WHVWH GD UDL] XQLWiULD
com a estatística d de Durbin-Watson distante de GHVWDFDVH QRV PRGHORV GH UHJUHVVmR R XVR GDV
6HQGRDVVLPIRUDPGHWHFWDGDVUDt]HVXQLWiULDV séries temporais de preços na primeira diferença.
QDVVpULHVDQDOLVDGDV
(P FRQWUDSDUWLGD SHORV WHVWHV $') QD 5.4 Razão ótima e efetividade de hedge
SULPHLUD GLIHUHQoD IRUDP YHUL¿FDGRV YDORUHV
&RQIRUPH SURSRVWR QHVWH HVWXGR D KLSyWHVH
PHQRUHV TXH RV YDORUHV o  FUtWLFRV DR QtYHO GH
de efetividade do hedging testa se a combinação
HDHVWDWtVWLFDd de Durbin-Watson
entre o mercado à vista e mercado futuro do
FRPYDORUHVSUy[LPRVRXLJXDLVDSDUDDVpULH
HWDQRO QmR p HIHWLYD QD PLWLJDomR GR ULVFR GH
de preços futuros (o HVpULHGHSUHoRVD
SUHoRVDSDUWLUGDDSOLFDomRGRPRGHORGH0\HUV
vista para os estados de Pernambuco (o 
H 7KRPSVRQ  SDUD HVWLPDomR GD UD]mR GH
H$ODJRDVo 
hedgeyWLPDFRQIRUPHVHSHUFHEHQD7DEHOD

Rev. Econ. NE, Fortaleza, v. 47, n. 1, p. 49-64, jan./mar., 2016

59
Frederico Victor Franco, Odilon José de Oliveira Neto e Waltuir Batista Machado

7DEHOD± 5D]}HV GH hedge SHOD DSOLFDomR GR 7DEHOD± (IHWLYLGDGHGDVRSHUDo}HVhedge para
PRGHORGH0\HUVH7KRPSVRQ RVHVWDGRVGH3HUQDPEXFRH$ODJRDV
3HUQDPEXFRH$ODJRDV 3DUkPHWURVGDHTXDomR Pernambuco $ODJRDV
&RH¿FLHQWHVGR0RGHORGH0 7 3HUQDPEXFR $ODJRDV h  
  var(H)  
Į
>@ >@ var(U)  
 ns
QV eh QU QU
į
>@ >@ Não Rejeita H0 Não Rejeita H0
7HVWHGH+LSyWHVHV
ns * Rejeita H1 Rejeita H1
ȕ
>@ >@ )RQWH (ODERUDGR SHORV DXWRUHV FRP EDVH HP QRV GDGRV GR
ns ** &HSHD
Ȗ
>@ >@ 1RWDVhpDUD]mR hedge yWLPD var(HpDYDULkQFLDPtQLPDGDFDU-
(VWDWtVWLFDVGR0RGHORGH 0 7 teira protegida, var(UpDYDULkQFLDGDFDUWHLUDQmRSURWHJLGD
Estatística F   (eh) é a efetividade do hedging (nrQmRUHMHLWDDKLSyWHVHQXODeh
p-valor (F) 0,0000  HUHMHLWDDKLSyWHVHDOWHUQDWLYDeh•H*UHMHLWDDKL-

R2   SyWHVHQXODehHQmRUHMHLWDDKLSyWHVHDOWHUQDWLYDeh•

R2Ajustado  

Log likelihood   2V UHVXOWDGRV GRV WHVWHV DSUHVHQWDGRV
AIC   QD 7DEHOD  QmR UHMHLWDUDP D KLSyWHVH GH
SBC   não efetividade de hedging e sugerem que a
DW   DSOLFDomR GD UD]mR yWLPD HVWLPDGD SHOR PRGHOR
)RQWH(ODERUDGRSHORVDXWRUHVFRPEDVHQRVHPGDGRVGR&HSHD
GH 0\HUV H 7KRPSVRQ  QmR p HIHWLYD QD
1RWDV 0 7 PRGHOR JHQHUDOL]DGR GH 0\HUV H7KRPSVRQ  PLWLJDomRGRULVFRGHSUHoRVGRHWDQROKLGUDWDGR
 Į FRQVWDQWH GH UHJUHVVmR  į UD]mR GH hedge yWLPD K pernambucano (ehHDODJRDQRHhMi
- (Log likelihoodORJYHURVVLPLOKDQoD$,&FULWpULRGHLQ- TXHDPERVDSUHVHQWDUDPYDORUHVPXLWRLQIHULRUHV
IRUPDomRGH$NDLNH6%&FULWpULRGHLQIRUPDomRED\HVLDQR DRV DFHLWiYHLV SDUD VHUHP FRQVLGHUDGRV HIHWLYRV
GH6FKZDU]':HVWDWtVWLFDGGH'XUELQH:DWVRQ>@YD-
(eh•
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**VLJQL¿FDQWHHVWDWLVWLFDPHQWHDRQtYHOGHns) não 2V UHVXOWDGRV UHODFLRQDGRV j HIHWLYLGDGH
VLJQL¿FDQWHHVWDWLVWLFDPHQWH SDUD R HWDQRO FRPHUFLDOL]DGR QRV HVWDGRV GH
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$R REVHUYDU RV FRH¿FLHQWHV H DV HVWDWtVWLFDV de hedge yWLPD REWLGD SHOR PRGHOR GH 0\HUV
GRV PRGHORV GH 0\HUV H 7KRPSVRQ  H 7KRPSVRQ  VmR VLJQL¿FDWLYDPHQWH
H[SRVWRV QD 7DEHOD  QRWDVH TXH DV UD]}HV GH LQIHULRUHV DRV HQFRQWUDGRV SRU %ULQNHU HW DO
hedge QmR DSUHVHQWDUDP VLJQL¿FkQFLD HVWDWtVWLFD  SDUD JUmRV GH PLOKR VHFRV SURFHGHQWHV
para os estados de Pernambuco (į  ns) e GH GHVWLODULDV GH HWDQRO GH GLIHUHQWHV UHJL}HV
$ODJRDV į  ns), dando indícios de que o SURGXWRUDV GRV (VWDGRV 8QLGRV $WODQWD*$
hedging QmR DWLQJH QtYHLV DFHLWiYHLV GH UHGXomR %RVWRQ0$ %XIIDOR1< H &KLFDJR,/ FRP
GRULVFRGHSUHoRVGRHWDQROFRPHUFLDOL]DGRQRV FRQWUDWRVIXWXURVGHPLOKRGD&KLFDJR%RDUGRI
referidos estados.
'LDQWH GHVVDV REVHUYDo}HV DSUHVHQWD
VH QD 7DEHOD  R UHVXOWDGR GD HTXDomR GD
efetividade de hedgingGRHWDQROSDUDRVHVWDGRV
HP HVWXGR XWLOL]DQGRVH GDV UD]}HV GH hedge
yWLPDV HVWLPDGDV SHOR XVR GR PRGHOR GH 0\HUV
7UDGH&%27
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PLWLJDomR GR ULVFR GH SUHoRV j YLVWD GR HWDQRO
KLGUDWDGRSURGX]LGRHFRPHUFLDOL]DGRQRVHVWDGRV
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SDUD RV HVWDGRV GH 3HUQDPEXFR H $ODJRDV D
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pEDL[D
Rev. Econ. NE, Fortaleza, v. 47, n. 1, p. 49-64, jan./mar., 2016
60
GH3HUQDPEXFRH$ODJRDV
6 CONCLUSÕES
2 REMHWLYR GHVWH DUWLJR IRL YHUL¿FDU VH DV
RSHUDo}HVGH hedge GRHWDQROQRPHUFDGRIXWXUR
GD %0 )%RYHVSD VmR HIHWLYDV QD PLWLJDomR
do risco dos preços do mercado à vista para os
 Efetividade das operações de hedge para o etanol de Pernambuco e Alagoas no mercado futuro da BM&FBovespa
HVWDGRV GH 3HUQDPEXFR H$ODJRDV SRU PHLR GD
negociação de contratos futuros.
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FRQVLGHUDGRV RV UHVXOWDGRV DOFDQoDGRV DSyV R
OHYDQWDPHQWR GH SUHoRV GR HWDQRO QR PHUFDGR
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RVHVWDGRVGH3HUQDPEXFRH$ODJRDV(PVHJXLGD
UHDOL]RXVH D DQiOLVH GH FRPSRUWDPHQWR GHVVHV
SUHoRVHQWUHIHYHUHLURGHHRXWXEURGH
DYHULJXDQGRVHDDOWDYRODWLOLGDGHGRVPHVPRV
3DUD RV HVWDGRV GH 3HUQDPEXFR H $ODJRDV
RV UHVXOWDGRV HVWLPDGRV HP  H 
respectivamente, evidenciaram os menores
índices de associação e maiores diferenças com
os preços futuros, na maior parte do período
estudado.
2 PHUFDGR GR HWDQRO KLGUDWDGR QRV HVWDGRV
GH 3HUQDPEXFR H $ODJRDV p FDUDFWHUL]DGR SHOR
IRUWDOHFLPHQWRGDEDVHFKHJDQGRDDWLQJLURiSLFH
HPHDFLPDGRVSUHoRVSUDWLFDGRV
no mercado futuro na data de vencimento
dos contratos, e com risco de base atingindo,
DSUR[LPDGDPHQWH  HP 3HUQDPEXFR H
HP$ODJRDV
$ PLWLJDomR GH DSUR[LPDGDPHQWH  GR
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GRVHVWDGRVGH3HUQDPEXFRH$ODJRDVSRUPHLR
GDV RSHUDo}HV GH hedge no mercado futuro do
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GD DSOLFDomR GDV UD]}HV yWLPDV GR PRGHOR GH
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gerenciamento do risco de preços de mercados,
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instrumentos de proteção, como o caso do mercado
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REFERÊNCIAS
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se mostrou efetivo para o gerenciamento do risco
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formadora de preço do mercado futuro.
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se que a não efetividade de mitigação do risco de
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fatores que contribuem, de certa forma, para o não
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para a administração do risco de preços por parte
de produtores e outros agentes da cadeia produtiva
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$R¿PGHVWDFDVHDLQGDTXHDTXDQWLGDGHGH
métodos que podem ser empregados para testar a
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GLIHUHQWHV LQYHVWLJDo}HV YHQKDP D VHU UHDOL]DGDV
(VWLPDWLRQRIWLPHYDU\LQJKHGJHUDWLRVIRUFRUQ
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approaches. 7KH,QGLDQ-RXUQDORI6WDWLVWLFV
YQSGH]
%,7(1&28576$6,/9$:66È)$',
7+HGJHGLQkPLFRVXPDHYLGrQFLDSDUDRV
FRQWUDWRVIXWXURVEUDVLOHLURV2UJDQL]Do}HV
5XUDLV $JURLQGXVWULDLVYQS

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KWWSZZZEPIERYHVSDFRPEUKRPH
DVS["LGLRPD SWEU!$FHVVRHPMXO
Rev. Econ. NE, Fortaleza, v. 47, n. 1, p. 49-64, jan./mar., 2016
61
Frederico Victor Franco, Odilon José de Oliveira Neto e Waltuir Batista Machado

%5$6,/0LQLVWpULRGD$JULFXOWXUD3HFXiULD ('(5,1*721/+7KHKHGJLQJSHUIRUPDQFH
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