Advanced Search
MyIDEAS: Login

Depósitos Em Moeda Estrangeira Como Hedge Para Investidores Brasileiros De Longo Prazo: Uma Aplicação Da Teoria Da Escolha Estratégica De Portfólio

Contents:

Author Info

  • Carlos Eduardo Meyer dos Santos
  • Marcos Antonio C. da Silveira
Registered author(s):

    Abstract

    O viés doméstico é observado na composição dos portfólios de diferentes classes de ativos financeiros. A literatura oferece argumentos conflitantes quanto à racionalidade deste comportamento no caso de portfólios investidos em títulos de curto prazo, usualmente denominados depósitos em moeda. No contexto de uma economia sujeita à forte volatilidade cambial, o pensamento convencional sugere que investidores conservadores devem concentrar estes depósitos em títulos domésticos. No entanto, estes instrumentos podem ser bastante arriscados para um investidor de longo prazo devido à incerteza quanto à taxa de juros de curto prazo vigente nos períodos futuros. Não menos importante, sob a hipótese da paridade descoberta de juros, pode ser ótimo para este investidor manter depósitos em moeda estrangeira como hedge intertemporal contra uma deterioração das oportunidades domésticas de investimento. Na raiz deste argumento está o fato de que o menor retorno esperado dos títulos domésticos, à medida que estimula a saída de capitais, é acompanhado pela depreciação real da moeda doméstica. Logo, depósitos em moeda estrangeira reduzem a volatilidade da riqueza futura, uma vez que o tamanho da riqueza corrente tende a aumentar quando seu retorno esperado diminui. Este trabalho avalia a eficiência dos depósitos em moeda estrangeira como hedge intertemporal para investidores brasileiros de longo prazo. A principal conclusão é que investidores razoavelmente conservadores devem manter parte significativa destes depósitos em dólares, libras e ienes. The home bias is observed in the composition of portfolios of different classes of financial assets. The literature offers conflicting arguments about the rationality of this behavior in the case of the portfolios invested in short-term securities, commonly known as currency deposits. In the context of an economy subject to strong volatility, the conventional wisdom suggests that conservative investors should concentrate these deposits on domestic bonds. However, these instruments can be very risky for a long-term investor due to uncertainty about the future short-term interest rate. Not least important, under the assumption of uncovered interest parity, it may be optimal for this investor to maintain foreign currency deposits as a hedge against a deterioration of the domestic investment opportunities. On the root of this argument is the fact that the lower expected return on domestic bonds, as it stimulates the outflow of capital, it is accompanied by real depreciation of the domestic currency. Therefore, the foreign currency deposits reduce the volatility of future wealth as the size of current wealth tends to increase when its expected return decreases. This work evaluates the effectiveness of the foreign currency deposits as an intertemporal hedge for Brazilian long-term investors. The main conclusion is that fairly conservative investors should allocate significant part of these deposits in dollars, pounds and ienes.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://www.ipea.gov.br/portal/images/stories/PDFs/TDs/td_1462.pdf
    Download Restriction: no

    Bibliographic Info

    Paper provided by Instituto de Pesquisa Econômica Aplicada - IPEA in its series Discussion Papers with number 1462.

    as in new window
    Length: 38 pages
    Date of creation: Jan 2010
    Date of revision:
    Handle: RePEc:ipe:ipetds:1462

    Contact details of provider:
    Postal: SBS - Quadra 01 - Bloco J - Ed. BNDES, Brasília, DF - 70076-90
    Phone: +55(061)315-5000
    Fax: +55(61)321-1597
    Email:
    Web page: http://www.ipea.gov.br
    More information through EDIRC

    Related research

    Keywords:

    This paper has been announced in the following NEP Reports:

    References

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
    as in new window
    1. Samuelson, Paul A, 1969. "Lifetime Portfolio Selection by Dynamic Stochastic Programming," The Review of Economics and Statistics, MIT Press, vol. 51(3), pages 239-46, August.
    2. Merton, Robert C., 1971. "Optimum consumption and portfolio rules in a continuous-time model," Journal of Economic Theory, Elsevier, vol. 3(4), pages 373-413, December.
    3. Campbell, John Y., 1987. "Stock returns and the term structure," Journal of Financial Economics, Elsevier, vol. 18(2), pages 373-399, June.
    4. Glosten, Lawrence R & Jagannathan, Ravi & Runkle, David E, 1993. " On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks," Journal of Finance, American Finance Association, vol. 48(5), pages 1779-1801, December.
    5. Viceira, Luis & Campbell, John & White, Joshua, 2003. "Foreign Currency for Long-Term Investors," Scholarly Articles 3128708, Harvard University Department of Economics.
    6. Campbell, John Y & Chan, Yeung Lewis & Viceira, Luis M, 2001. "A Multivariate Model of Strategic Asset Allocation," CEPR Discussion Papers 3070, C.E.P.R. Discussion Papers.
    7. Merton, Robert C, 1969. "Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case," The Review of Economics and Statistics, MIT Press, vol. 51(3), pages 247-57, August.
    8. Campbell, John Y. & Viceira, Luis M., 2002. "Strategic Asset Allocation: Portfolio Choice for Long-Term Investors," OUP Catalogue, Oxford University Press, number 9780198296942.
    Full references (including those not matched with items on IDEAS)

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:ipe:ipetds:1462. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Fabio Schiavinatto).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.