06455oam 22016214 450 991096008080332120250426110712.0978661284310597814623002801462300286978145279749614527974989781282843103128284310997814518723781451872372(CKB)3170000000055250(EBL)1608263(SSID)ssj0000941484(PQKBManifestationID)11577296(PQKBTitleCode)TC0000941484(PQKBWorkID)10963640(PQKB)10653784(OCoLC)586098021(IMF)WPIEE2009090(MiAaPQ)EBC1608263(IMF)WPIEA2009090WPIEA2009090(EXLCZ)99317000000005525020020129d2009 uf 0engur|n|---|||||txtccrInflation Hedging for Long-Term Investors /Shaun Roache, Alexander Attie1st ed.Washington, D.C. :International Monetary Fund,2009.1 online resource (39 p.)IMF Working Papers"April 2009".9781451916720 1451916728 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 BankingimfBondsimfCapital and Ownership StructureimfCurrenciesimfDeflationimfFinancial institutionsimfFinancial InstrumentsimfFinancial regulation and supervisionimfFinancial Risk and Risk ManagementimfFinancial risk managementimfFinancial services law & regulationimfFinancing PolicyimfGeneral Financial Markets: General (includes Measurement and Data)imfGoodwillimfGovernment and the Monetary SystemimfHedgingimfInflationimfInstitutional InvestorsimfInvestment & securitiesimfInvestment DecisionsimfInvestments: BondsimfInvestments: StocksimfMacroeconomicsimfMonetary economicsimfMonetary SystemsimfMoney and Monetary PolicyimfMoneyimfNon-bank Financial InstitutionsimfPayment SystemsimfPension FundsimfPortfolio ChoiceimfPrice LevelimfPricesimfRegimesimfStandardsimfStocksimfValue of FirmsimfUnited StatesimfHedging (Finance)Inflation (Finance)Risk.Banks and BankingBondsCapital and Ownership StructureCurrenciesDeflationFinancial institutionsFinancial InstrumentsFinancial regulation and supervisionFinancial Risk and Risk ManagementFinancial risk managementFinancial services law & regulationFinancing PolicyGeneral Financial Markets: General (includes Measurement and Data)GoodwillGovernment and the Monetary SystemHedgingInflationInstitutional InvestorsInvestment & securitiesInvestment DecisionsInvestments: BondsInvestments: StocksMacroeconomicsMonetary economicsMonetary SystemsMoney and Monetary PolicyMoneyNon-bank Financial InstitutionsPayment SystemsPension FundsPortfolio ChoicePrice LevelPricesRegimesStandardsStocksValue of Firms332.152Roache Shaun1815930Attie Alexander1816061International Monetary Fund.Finance Dept.DcWaIMFBOOK9910960080803321Inflation Hedging for Long-Term Investors4371705UNINA