The dynamic connectedness between collateralized loan obligations and major asset classes: a TVP-VAR approach and portfolio hedging strategies for investors

IF 1.9 4区经济学 Q2 ECONOMICS Empirical Economics Pub Date : 2024-04-02 DOI:10.1007/s00181-024-02583-2

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Abstract

Motivated by the increasing demand for alternative assets that can contribute to reducing portfolio risk, this paper examines the volatility spillovers between collateralized loan obligations (CLOs) and various in-demand investment instruments, including equities, bonds, crude oil, commodities, gold, bitcoin, shipping and real estate. The applied methodology comprehends the time-varying parameter vector autoregressive (TVP-VAR) modification of the classical spillover approach, for the period from January 1, 2012, to August 31, 2023. The empirical findings show moderate levels of dynamic connectedness; albeit several external shocks strengthened the interconnection among the assets. Moreover, we compare the ability of CLOs for hedging, during the overall sample period and multiple subperiods, by estimating hedge ratios and optimal portfolio weights, in order to inform investors about feasible portfolio adjustments. Our results indicate that CLOs constitute an effective hedging tool, irrespective of the period covered, as the short position in their volatility provides high hedging effectiveness for investors holding long positions in the volatility of all the remaining assets.

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担保贷款债务与主要资产类别之间的动态关联性：TVP-VAR 方法和投资者的投资组合对冲策略

摘要由于对有助于降低投资组合风险的替代资产的需求日益增长，本文研究了担保贷款债务（CLO）与各种紧俏投资工具之间的波动溢出效应，包括股票、债券、原油、大宗商品、黄金、比特币、航运和房地产。应用的方法包括对经典溢出法的时变参数向量自回归（TVP-VAR）修正，时间跨度为 2012 年 1 月 1 日至 2023 年 8 月 31 日。实证研究结果表明，动态关联水平适中；尽管几次外部冲击加强了资产之间的相互关联。此外，我们还通过估算对冲比率和最佳投资组合权重，比较了 CLO 在整个样本期间和多个子期间的对冲能力，以便让投资者了解可行的投资组合调整。我们的结果表明，无论在哪个时期，CLO 都是一种有效的对冲工具，因为其波动率的空头头寸为持有其余所有资产波动率多头头寸的投资者提供了很高的对冲有效性。

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来源期刊

Empirical Economics Multiple-

CiteScore

4.40

自引率

0.00%

发文量

157

期刊介绍： Empirical Economics publishes high quality papers using econometric or statistical methods to fill the gap between economic theory and observed data. Papers explore such topics as estimation of established relationships between economic variables, testing of hypotheses derived from economic theory, treatment effect estimation, policy evaluation, simulation, forecasting, as well as econometric methods and measurement. Empirical Economics emphasizes the replicability of empirical results. Replication studies of important results in the literature - both positive and negative results - may be published as short papers in Empirical Economics. Authors of all accepted papers and replications are required to submit all data and codes prior to publication (for more details, see: Instructions for Authors).The journal follows a single blind review procedure. In order to ensure the high quality of the journal and an efficient editorial process, a substantial number of submissions that have very poor chances of receiving positive reviews are routinely rejected without sending the papers for review.Officially cited as: Empir Econ