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The inflation hedging potential of commodities : a DCC-GARCH approach

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Resumo:This thesis seeks to examine the inflation hedging ability of commodities in the US and their impact on an investment portfolio. It also aims to compare its inflation hedging performance to Treasury Inflation-Protected Securities (TIPS). First, a DCC-GARCH model is used to find dynamic conditional correlations between a selection of commodities and inflation. Secondly, a portfolio allocation exercise with a fixed weight allocated towards the commodity and, on the other hand, a Markowitz portfolio allocation is being conducted. The results come to the conclusion, that while some commodities do certainly have positive dynamic conditional correlations with inflation, they do not necessarily perform well in a portfolio setting given their volatility and unpredictability, specifally in times of crisis. However, Gold may indeed be used as an inflation hedge. Gold shows consistent positive correlations with inflation and good performance in a portfolio setting. Gold also outperforms TIPS in terms of real returns.
Autores principais:Egartner, Sabrina
Assunto:60/40 portfolio Agricultural commodities Agrupamento de volatilidade Ativos de refúgio Carteira 60/40 Commodities Commodities agrícolas Commodities energéticas Correlações dinâmicas Covid-19 pandemic DCC-GARCH model Desempenho da carteira Dynamic correlations Econometric modeling Energy commodities Hedge contra a inflação Industrial metals Inflação Inflação nos EUA Inflation Inflation hedging Institutional investors Investidores institucionais Metais industriais Metais preciosos Modelagem econométrica Modelo DCC-GARCH Pandemia da Covid-19 Portfolio performance Precious metals Relação risco-retorno Risk-return trade-off Safe haven assets Treasury inflation-protected securities (TIPS) US inflation Volatility clustering
Ano:2025
País:Portugal
Tipo de documento:dissertação de mestrado
Tipo de acesso:acesso aberto
Instituição associada:Universidade Católica Portuguesa
Idioma:inglês
Origem:Veritati - Repositório Institucional da Universidade Católica Portuguesa

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