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Análise da relação entre criptomoedas e a incerteza da política económica
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Autores
Orientador(es)
Resumo(s)
A incerteza política económica impacta no comportamento das principais moedas
globais. Neste contexto, torna-se importante perceber como as criptomoedas, tratando-se
de ativos recentes e descentralizados que não requerem o controlo de nenhuma entidade
governamental, se comportam face à incerteza política económica.
Assim, o principal objetivo deste estudo é caraterizar as criptomoedas enquanto
instrumento de cobertura de risco, mas também como instrumento safe-haven e
diversificador de portfólios de investimento, quando confrontadas com a incerteza da
política económica.
Neste estudo foram aplicadas as metodologias Cross Wavelet Transform e
Wavelet Coherence, contemplando uma amostra de 52 observações mensais de sete
índices de incerteza de política económica e de duas criptomoedas, no espaço temporal
compreendido entre janeiro de 2018 e abril de 2022.
Através da aplicação da metodologia Cross Wavelet Transform, conclui-se que a
Bitcoin tanto pode agir como um instrumento safe-haven como um instrumento de
cobertura de risco. Já a Ethereum pode ser caraterizada principalmente como um
diversificador de portfólios de investimento. De acordo com a Wavelet Coherence, os
resultados demonstram que ambas as criptomoedas são instrumentos safe-haven, de
cobertura ao risco e diversificadores de portfólios de investimento, em períodos distintos.
O principal contributo do estudo é concorrer para a literatura acerca do
comportamento das criptomoedas quando confrontadas com a incerteza da política
económica, auxiliando assim a tomada de decisão por parte dos investidores.
Economic policy uncertainty impacts the behavior of major global currencies. In this context, it is important to understand how cryptocurrencies, that are recent and decentralized assets that do not require the control of any governmental entity, behave in the face of economic policy uncertainty. Thus, the main objective of this study is to characterize cryptocurrencies as a risk hedging instrument, but also as a safe-haven instrument and a diversifier of investment portfolios, when faced with economic policy uncertainty. In this study, the Cross Wavelet Transform and Wavelet Coherence methodologies were applied, contemplating a sample of 52 monthly observations of seven economic policy uncertainty indices and two cryptocurrencies, regarding the time frame between January 2018 and April 2022. Through the application of the Cross Wavelet Transform methodology, it is concluded that Bitcoin can act as both a safe-haven instrument and a risk hedging instrument. On the other hand, Ethereum can be mainly characterized as a diversifier of investment portfolios. According to Wavelet Coherence, the results demonstrate that both cryptocurrencies are safe-haven instruments, risk hedging and investment portfolio diversifiers, along the sampled periods. The main contribution of the study is to add to the current literature evidence on the behavior of cryptocurrencies when faced with economic policy uncertainty, thus helping investors on decision making.
Economic policy uncertainty impacts the behavior of major global currencies. In this context, it is important to understand how cryptocurrencies, that are recent and decentralized assets that do not require the control of any governmental entity, behave in the face of economic policy uncertainty. Thus, the main objective of this study is to characterize cryptocurrencies as a risk hedging instrument, but also as a safe-haven instrument and a diversifier of investment portfolios, when faced with economic policy uncertainty. In this study, the Cross Wavelet Transform and Wavelet Coherence methodologies were applied, contemplating a sample of 52 monthly observations of seven economic policy uncertainty indices and two cryptocurrencies, regarding the time frame between January 2018 and April 2022. Through the application of the Cross Wavelet Transform methodology, it is concluded that Bitcoin can act as both a safe-haven instrument and a risk hedging instrument. On the other hand, Ethereum can be mainly characterized as a diversifier of investment portfolios. According to Wavelet Coherence, the results demonstrate that both cryptocurrencies are safe-haven instruments, risk hedging and investment portfolio diversifiers, along the sampled periods. The main contribution of the study is to add to the current literature evidence on the behavior of cryptocurrencies when faced with economic policy uncertainty, thus helping investors on decision making.
Descrição
Mestrado Bolonha em Contabilidade, Fiscalidade e Finanças Empresariais
Palavras-chave
Criptomoeda Incerteza da Política Económica Bitcoin Wavelet Cryptocurrency Economic Policy Uncertainty
Contexto Educativo
Citação
Barão, Bruno Alexandre Dias (2022). “Análise da relação entre criptomoedas e a incerteza da política económica”. Dissertação de Mestrado. Universidade de Lisboa. Instituto Superior de Economia e Gestão
Editora
Instituto Superior de Economia e Gestão