Diversificação com ativos alternativos na proteção contra a inflação brasileira: uma análise empírica de ouro, dólar e bitcoin (2000–2023)

Abstract

Inflation is one of the main challenges to preserving purchasing power, encouraging investors to seek assets capable of protecting wealth in real terms. This study aimed to analyze the effectiveness of gold, the U.S. dollar, and Bitcoin as inflation hedging instruments in Brazil between 2000 and 2023, as well as to evaluate the effects of combining these assets in diversified investment portfolios. Monthly data on the Broad National Consumer Price Index (IPCA), together with gold, U.S. dollar, and Bitcoin prices denominated in Brazilian reais, were analyzed. The methodological approach included descriptive analysis of historical time series, calculation of nominal and real returns, correlation analysis, the Augmented Dickey-Fuller (ADF) unit root test, the Granger causality test, the Johansen cointegration test, and portfolio simulations. The results showed that gold exhibited the greatest stability and the most consistent performance in preserving purchasing power throughout the sample period. Bitcoin generated the highest cumulative return, although it was accompanied by substantial volatility, while the U.S. dollar appreciated in nominal terms but failed to outperform cumulative inflation between 2000 and 2023. The analyses indicated weak linear correlation between asset returns and monthly inflation, although evidence of long-run relationships between the series was identified. Diversified portfolios outperformed investments concentrated in a single asset, suggesting that combining gold, the U.S. dollar, and Bitcoin can contribute to a more balanced strategy for preserving purchasing power and managing risk, considering the return and volatility characteristics of each asset.