摘要：In recent years, one could observe a very definite surge in dollar prices in Brazil. Many Brazilian Companies, especially those with large amounts of dollar denominated debt incurred substantial losses due to the strong and fast growth of the dollar. The subsequent dollar price collapse from 2002 to 2008 caused great losses to exporters. In the context of hedge being a form of protection against currency oscillations, this paper aimed to study its effectiveness using the dollar future market in the BM&FBovespa. Specifically, four alternatives for calculating the optimum hedge ratio were compared: a) the so called naïve approach, where opposite positions are taken in the spot and future markets; b) OLS – Ordinary Least Squares c) symmetric bi-variate GARCH (Generalized Autoregressive Conditional Heteroscedasticity); d) asymmetric bi-variate GARCH. The results showed that both GARCH supported hedge ratios presented higher effectiveness when compared to OLS, with in turn surpassed the naïve one.
其他摘要：In recent years, one could observe a very definite surge in dollar prices in Brazil. Many Brazilian Companies, especially those with large amounts of dollar denominated debt incurred substantial losses due to the strong and fast growth of the dollar. The subsequent dollar price collapse from 2002 to 2008 caused great losses to exporters. In the context of hedge being a form of protection against currency oscillations, this paper aimed to study its effectiveness using the dollar future market in the BM&FBovespa. Specifically, four alternatives for calculating the optimum hedge ratio were compared: a) the so called naïve approach, where opposite positions are taken in the spot and future markets; b) OLS – Ordinary Least Squares c) symmetric bi-variate GARCH (Generalized Autoregressive Conditional Heteroscedasticity); d) asymmetric bi-variate GARCH. The results showed that both GARCH supported hedge ratios presented higher effectiveness when compared to OLS, with in turn surpassed the naïve one.
关键词：Hegde;US-Dollar Futures Market;Garch Models;Hegde;Mercado Futuro de Dólar;Modelos Garch
