As variações cambiais justificam o custo financeiro da contratação do hedge cambial no Brasil?

Resumo

Studies have shown that, even when exposed to exchange rate risks, not all companies utilize derivatives as a form of financial protection. For many, derivatives are perceived as costly, complex, and difficult to implement. Focusing exclusively on the cost factor — specifically for passive positions in U.S. dollars — this study investigates, over a 10-year period using daily data and multiple time horizons, whether the cost of hedging, derived from the interest rate differential between Brazilian real and U.S. dollar rates, justifies the decision to forgo derivative instruments. Through statistical analysis, the study finds that when comparing relative exchange rate variations to carrying costs, the decision to hedge is not straightforward. However, when incorporating risk measurement tools — notably Value-at-Risk (VaR), both parametric and non-parametric — the benefits of using derivatives to mitigate currency risk on a company’s balance sheet become clear. Additionally, macroeconomic indicators such as GDP, the IPCA (Brazilian consumer price index), the SELIC rate (Brazil’s benchmark interest rate), the exchange rate, and the government's net debt were analyzed to assess their influence on these comparisons. The findings suggest that these variables can impact the relative attractiveness of hedging strategies. This study contributes to the ongoing discussion on financial risk management by offering insights into the cost-benefit dynamics of using derivatives to hedge exchange rate exposures — particularly when financial cost is cited as the primary barrier to adoption.

Ficha do documento

Tipo

Dissertação

Ano

2025

Instituição

Fundação Getulio Vargas

Fonte

Repositório da FGV

Idioma

Português

Acesso

Acesso aberto

Identificador

oai:repositorio.fgv.br:10438/37509

Temas

Dados

Palavras-chave

Carry tradeDerivativesForeign exchangeInterest rate parityRisk managementValue at RiskAdministração de empresasCâmbioDerivativos (Finanças)Administração de riscoHedging (Finanças)