Precious metals, a shiny hedge for investors?

Recorrendo a duas abordagens diferentes, regressão e correlação, e cobrindo os últimos vinte anos de dados diários para sete países, esta tese investiga as propriedades “safe haven” e “hedge” dos metais preciosos, em comparação com acções internacionais para um dado estado da economia. Adicionalmente, esta tese avalia o desempenho de diferentes portfolios, dentro e fora da amostra, com o objectivo de verificar se o investimento em metais preciosos poderá ajudar a atenuar a gestao do risco por parte do investidor. Os principais resultados são os que se seguem: (i) O ouro é o melhor metal precioso para um “hedging” internacional em oposição às acções (ii) O ouro permite obter valiosos benefícios de gestão de risco do portfolio (iii) 60/40 dos portofios atribuidos com ouro permitem ao investidor obter bons resultados.

Eficiência e razão de hedge: uma análise dos mercados futuro brasileiros de boi, café, etanol, milho e soja

This research aims to investigate the Hedge Efficiency and Optimal Hedge Ratio for the future market of cattle, coffee, ethanol, corn and soybean. This paper uses the Optimal Hedge Ratio and Hedge Effectiveness through multivariate GARCH models with error correction, attempting to the possible phenomenon of Optimal Hedge Ratio differential during the crop and intercrop period. The Optimal Hedge Ratio must be bigger in the intercrop period due to the uncertainty related to a possible supply shock (LAZZARINI, 2010). Among the future contracts studied in this research, the coffee, ethanol and soybean contracts were not object of this phenomenon investigation, yet. Furthermore, the corn and ethanol contracts were not object of researches which deal with Dynamic Hedging Strategy. This paper distinguishes itself for including the GARCH model with error correction, which it was never considered when the possible Optimal Hedge Ratio differential during the crop and intercrop period were investigated. The commodities quotation were used as future price in the market future of BM&FBOVESPA and as spot market, the CEPEA index, in the period from May 2010 to June 2013 to cattle, coffee, ethanol and corn, and to August 2012 to soybean, with daily frequency. Similar results were achieved for all the commodities. There is a long term relationship among the spot market and future market, bicausality and the spot market and future market of cattle, coffee, ethanol and corn, and unicausality of the future price of soybean on spot price. The Optimal Hedge Ratio was estimated from three different strategies: linear regression by MQO, BEKK-GARCH diagonal model, and BEKK-GARCH diagonal with intercrop dummy. The MQO regression model, pointed out the Hedge inefficiency, taking into consideration that the Optimal Hedge presented was too low. The second model represents the strategy of dynamic hedge, which collected time variations in the Optimal Hedge. The last Hedge strategy did not detect Optimal Hedge Ratio differential between the crop and intercrop period, therefore, unlikely what they expected, the investor do not need increase his/her investment in the future market during the intercrop

Macroeconomic stability and investment allocation of domestic pension funds in emerging economies: the case of Chile

Includes bibliography

Pension funds and the financing productive investment: an analysis based on Brazil's recent experience

Includes bibliography

Social investment funds in Latin America

Includes bibliography

Heterogeneous demand and market segmentation: the Argentine pension funds system

Includes bibliography

Pension funds, the financing of transition costs and financial markets development: lessons from the Chilean privatization reform

Includes bibliography

Road maintenance, funds and fund management

This edition of the Bulletin deals with road maintenance, funds and fund management. Among other things, it emphasizes, the need to manage road funds in accordance with clear performance rules which seek to minimize maintenance costs and ensure that the road network is maintained in an appropriate condition.

AN ANALYSIS OF SMALL BUSINESS LOAN GUARANTEE FUNDS

Small businesses are considered important engines for job growth and economic development by policy makers worldwide. One of the most commonly cited constraints of small businesses is a lack of access to capital. To address this constraint, small business loan guarantee programs have been established in over 100 countries. There are a variety of types of guarantee funds, with the most significant differences being which borrowers are eligible for guarantees, and how borrowers are approved for guarantees. There is currently no clear delineation between types of programs and the economic conditions they operate in, though some trends are becoming apparent. However, these trends may not be leading to the best economic outcomes possible. By better matching the structure of the guarantee fund to the economic conditions it operates in, the program’s success in meeting economic development goals may be greatly improved. Many programs in developing countries may not be taking advantage of bank expertise and may be limiting the scope of their effectiveness. At the same time, programs in developed countries may be wasting resources by scattering their efforts too thinly and subsidizing less competitive firms to the detriment of local economic development.