金融一体化和对冲以及金属对主权债券的避险属性

IF 2.8 2区经济学 Q2 BUSINESS, FINANCE

Journal of International Money and Finance Pub Date : 2024-09-23 DOI:10.1016/j.jimonfin.2024.103195

Markus Höfler, Andrea Schertler

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引用次数: 0

摘要

以往的研究表明，就主权债券的对冲和避险属性而言，工业金属优于黄金和其他贵金属。我们认为，这些特性的强弱取决于主权债券的全球一体化程度。因此，我们模拟了金属对主权债券的对冲和避险属性，并将其与债券收益的全球一体化程度挂钩。我们从 24 个国家的主权债券中得出的证据表明，当主权债券的一体化程度较高时，工业金属能提供更强的对冲和避险功能，而贵金属则不然。通货膨胀率和汇率也会影响金属的避险属性，但债券一体化的经济效应最强。这一证据有助于解释为什么金属对一些主权债券投资者来说是极好的对冲或避险资产，而对另一些投资者来说却不是。

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Financial integration and hedging and safe haven properties of metals for sovereign bonds

Previous research has shown that industrial metals outperform gold and other precious metals in terms of hedging and safe haven properties for sovereign bond holdings. We argue that the strength of these properties depends on how much the sovereign bond is globally integrated. We therefore model the hedging and safe haven properties of metals for sovereign bonds as moderated by how much bond returns are globally integrated. Our evidence from the sovereign bonds of 24 countries shows that industrial metals provide a stronger hedge and safe haven when sovereigns are more integrated, whereas precious metals do not. The inflation and exchange rates also affect the hedging properties of metals, but bond integration has the strongest economic effect. This evidence helps explain why metals are excellent hedging or safe haven assets for some sovereign bond investors but not for others.

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来源期刊

Journal of International Money and Finance BUSINESS, FINANCE-

CiteScore

4.20

自引率

4.00%

发文量

141

期刊介绍： Since its launch in 1982, Journal of International Money and Finance has built up a solid reputation as a high quality scholarly journal devoted to theoretical and empirical research in the fields of international monetary economics, international finance, and the rapidly developing overlap area between the two. Researchers in these areas, and financial market professionals too, pay attention to the articles that the journal publishes. Authors published in the journal are in the forefront of scholarly research on exchange rate behaviour, foreign exchange options, international capital markets, international monetary and fiscal policy, international transmission and related questions.