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Abstract(s)
Na presente dissertação é analisada a atuação das obrigações alemãs, as bunds, como ativo de refúgio durante a crise financeira de 2008 e comparamos a mesmo com o ouro. Para tal, será testado o comportamento destes dois ativos recorrendo a duas perspetivas. Numa primeira abordagem, vamos testar as propriedades do ouro e das bunds como hedge e safe haven, no geral. Numa segunda perspetiva identificamos períodos relevantes para a economia de forma a entender se as bunds e o ouro atuaram como ativos de refúgio durante as datas em análise. Os períodos que vamos estudar são a crise económica de 2008, a crise asiática (apenas para o ouro) e o ano de 2014 (ano em que a política de taxas de juro negativas entra em vigor na União Europeia). Desta forma vamos estimar um modelo GARCH (1,1) por máxima verossimilhança para uma amostra de 9 de Setembro de 1996 a 9 de Setembro de 2016. Os índices bolsistas escolhidos representam grupos de índices acionistas como América do Norte, Europa e Mundo. Concluímos que as bunds são um ativo de refúgio bastante forte e que atuaram, durante a crise financeira de 2008, como safe haven mais poderoso do que o ouro.
In the present dissertation is analyzed the performance of German bonds, the bunds, as a safe haven asset during the 2008 financial crisis and we compare the same with gold. For this, the behavior of these two assets will be tested using two perspectives. In a first approach, we will test the properties of gold and bunds as hedge and safe haven, in general. In a second perspective, we identified relevant periods for the economy to understand whether bunds and gold acted as safe haven assets during the dates under analysis. The periods under study are the 2008 economic crisis, the Asian crisis (for gold only) and 2014 (the year when the negative interest rate policy comes into force in the European Union). In this way, we will estimate a GARCH (1,1) maximum likelihood model for a sample from September 9, 1996 to September 9, 2016. The stock indexes chosen represent stock index groups such as North America, Europe and the World. We conclude that bunds are a strong safe haven asset and that they acted, during the 2008 financial crisis, as a safe haven more powerful than gold.
In the present dissertation is analyzed the performance of German bonds, the bunds, as a safe haven asset during the 2008 financial crisis and we compare the same with gold. For this, the behavior of these two assets will be tested using two perspectives. In a first approach, we will test the properties of gold and bunds as hedge and safe haven, in general. In a second perspective, we identified relevant periods for the economy to understand whether bunds and gold acted as safe haven assets during the dates under analysis. The periods under study are the 2008 economic crisis, the Asian crisis (for gold only) and 2014 (the year when the negative interest rate policy comes into force in the European Union). In this way, we will estimate a GARCH (1,1) maximum likelihood model for a sample from September 9, 1996 to September 9, 2016. The stock indexes chosen represent stock index groups such as North America, Europe and the World. We conclude that bunds are a strong safe haven asset and that they acted, during the 2008 financial crisis, as a safe haven more powerful than gold.
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Keywords
Safe haven Hedge Bunds Ouro Crise financeira de 2008 Choques no mercado Gold 2008 financial crisis Shocks in the market