文章基本信息

标题：Hedging the Brazilian stock index in the era of low interest rates What has changed?
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作者：Fernando Antonio Lucena Aiube ; Winicius Botelho Faquieri
期刊名称：Brazilian Review of Finance
印刷版ISSN：1984-5146
出版年度：2020
卷号：18
期号：3
页码：5-26
DOI：10.12660/rbfin.v18n3.2020.81625
语种：English
出版社：Link to the Brazilian Society of Finance
摘要：In this paper we analyze the ability of different asset classes to hedge the Brazilian stock index in periods of high and low interest rates in the Brazilian economy, using two multivariate GARCH models. Our analysis includes two categories of assets: those traded in domestic currency and those traded in U.S. dollars. From the perspective of a local investor, we find that the exchange rate (R$/US$) and gold are the assets least correlated with equities. From the standpoint of a foreign investor, commodity index and fixed-income assets are the most useful. These results prevail in the low- and high-interest-rate periods. Moreover, in the period of low interest rates, the standard deviation of the estimated conditional correlation time series decreases, suggesting that in this period investors are more confident about macroeconomic policies.
关键词：Hedging equities; MGARCH models; Brazilian stock market