06212oam 22015134 450 991078833640332120230721045701.01-4623-0028-61-4527-9749-81-282-84310-91-4518-7237-29786612843105(CKB)3170000000055250(EBL)1608263(SSID)ssj0000941484(PQKBManifestationID)11577296(PQKBTitleCode)TC0000941484(PQKBWorkID)10963640(PQKB)10653784(OCoLC)586098021(MiAaPQ)EBC1608263(IMF)WPIEE2009090(EXLCZ)99317000000005525020020129d2009 uf 0engur|n|---|||||txtccrInflation Hedging for Long-Term Investors /Shaun Roache, Alexander AttieWashington, D.C. :International Monetary Fund,2009.1 online resource (39 p.)IMF Working Papers"April 2009".1-4519-1672-8 Includes bibliographical references.Contents; I. Introduction; Figures; 1. Long-term Consumer Price Inflation, 1950-2008 (annual percent); II. Literature Review; A. Cash; B. Bonds; C. Corporate Equity; D. Alternatives; E. Diversified Portfolios; III. Inflation Hedging Over a One-Year Horizon; A. Data; Tables; 1. Short-Run Model Variables: Summary Statistics, Jan-1927 to Nov-2008; B. Estimation Strategy; C. Results; 2. Asset Class Sensitivity to Inflation Over a 12-Month Horizon; IV. Inflation Hedging over the Long Term; 3. Breakpoint Tests and Sub-Sample Regressions; A. Data; B. Estimation Strategy3. Long-Run Model Variables: Summary Statistics, Aug-1956 to Oct-2008C. Results; 2. Inflation Shock 20-Year Cumulative Impulse Response Functions; 3. Inflation Shock Elasticities; V. Summary and Investment Implications; Appendix; ReferencesLong-term investors face a common problem-how to maintain the purchasing power of their assets over time and achieve a level of real returns consistent with their investment objectives. While inflation-linked bonds and derivatives have been developed to hedge the effects of inflation, their limited supply and liquidity lead many investors to continue to rely on the indirect hedging properties of traditional asset classes. In this paper, we assess these properties over different time horizons, in the context of a diversified portfolio. Using a vector error correction model, we find that effective short-run hedges, such as commodities, may not work over longer horizons and that tactical asset allocation could enhance investment returns following inflation surprises.IMF Working Papers; Working Paper ;No. 2009/090Hedging (Finance)Inflation (Finance)RiskBanks and BankingimfInflationimfInvestments: BondsimfInvestments: StocksimfMoney and Monetary PolicyimfPrice LevelimfDeflationimfPortfolio ChoiceimfInvestment DecisionsimfPension FundsimfNon-bank Financial InstitutionsimfFinancial InstrumentsimfInstitutional InvestorsimfGeneral Financial Markets: General (includes Measurement and Data)imfFinancing PolicyimfFinancial Risk and Risk ManagementimfCapital and Ownership StructureimfValue of FirmsimfGoodwillimfMonetary SystemsimfStandardsimfRegimesimfGovernment and the Monetary SystemimfPayment SystemsimfMacroeconomicsimfInvestment & securitiesimfFinancial services law & regulationimfMonetary economicsimfStocksimfBondsimfHedgingimfCurrenciesimfPricesimfFinancial institutionsimfFinancial regulation and supervisionimfMoneyimfFinancial risk managementimfUnited StatesimfHedging (Finance)Inflation (Finance)Risk.Banks and BankingInflationInvestments: BondsInvestments: StocksMoney and Monetary PolicyPrice LevelDeflationPortfolio ChoiceInvestment DecisionsPension FundsNon-bank Financial InstitutionsFinancial InstrumentsInstitutional InvestorsGeneral Financial Markets: General (includes Measurement and Data)Financing PolicyFinancial Risk and Risk ManagementCapital and Ownership StructureValue of FirmsGoodwillMonetary SystemsStandardsRegimesGovernment and the Monetary SystemPayment SystemsMacroeconomicsInvestment & securitiesFinancial services law & regulationMonetary economicsStocksBondsHedgingCurrenciesPricesFinancial institutionsFinancial regulation and supervisionMoneyFinancial risk managementRoache Shaun1462118Attie Alexander1472698International Monetary Fund.Finance Dept.DcWaIMFBOOK9910788336403321Inflation Hedging for Long-Term Investors3685569UNINA