São as bunds um novo safe haven?

  • Matilde Duarte Costa (Student)

Student thesis: Master's Thesis

Abstract

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.
Date of Award28 Nov 2017
Original languagePortuguese
Awarding Institution
  • Universidade Católica Portuguesa
SupervisorRicardo Ribeiro (Supervisor)

Keywords

  • Safe haven
  • Hedge
  • Bunds
  • Gold
  • 2008 financial crisis
  • Shocks in the market

Designation

  • Mestrado em Finanças

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