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

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

    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.

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

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    Length: 38 pages
    Date of creation: Jan 2010
    Handle: RePEc:ipe:ipetds:1462
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    1. Campbell, John Y. & Chan, Yeung Lewis & Viceira, Luis M., 2003. "A multivariate model of strategic asset allocation," Journal of Financial Economics, Elsevier, vol. 67(1), pages 41-80, January.
    2. John Y. Campbell & Luis M. Viceira & Joshua S. White, 2003. "Foreign Currency for Long-Term Investors," Economic Journal, Royal Economic Society, vol. 113(486), pages 1-25, March.
    3. J. Tobin, 1958. "Liquidity Preference as Behavior Towards Risk," Review of Economic Studies, Oxford University Press, vol. 25(2), pages 65-86.
    4. Campbell, John Y., 1987. "Stock returns and the term structure," Journal of Financial Economics, Elsevier, vol. 18(2), pages 373-399, June.
    5. 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.
    6. 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.
    7. Paul A. Samuelson, 2011. "Lifetime Portfolio Selection by Dynamic Stochastic Programming," World Scientific Book Chapters,in: THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 31, pages 465-472 World Scientific Publishing Co. Pte. Ltd..
    8. Campbell, John Y. & Viceira, Luis M., 2002. "Strategic Asset Allocation: Portfolio Choice for Long-Term Investors," OUP Catalogue, Oxford University Press, number 9780198296942.
    9. 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 247-257, August.
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