LEADER 06256oam 22015374 450 001 9910825976303321 005 20240402051152.0 010 $a1-4623-0028-6 010 $a1-4527-9749-8 010 $a1-282-84310-9 010 $a1-4518-7237-2 010 $a9786612843105 035 $a(CKB)3170000000055250 035 $a(EBL)1608263 035 $a(SSID)ssj0000941484 035 $a(PQKBManifestationID)11577296 035 $a(PQKBTitleCode)TC0000941484 035 $a(PQKBWorkID)10963640 035 $a(PQKB)10653784 035 $a(OCoLC)586098021 035 $a(IMF)WPIEE2009090 035 $a(MiAaPQ)EBC1608263 035 $a(EXLCZ)993170000000055250 100 $a20020129d2009 uf 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 10$aInflation Hedging for Long-Term Investors /$fShaun Roache, Alexander Attie 205 $a1st ed. 210 1$aWashington, D.C. :$cInternational Monetary Fund,$d2009. 215 $a1 online resource (39 p.) 225 1 $aIMF Working Papers 300 $a"April 2009". 311 $a1-4519-1672-8 320 $aIncludes bibliographical references. 327 $aContents; 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 Strategy 327 $a3. 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; References 330 3 $aLong-term investors face a common problem-how to maintain the purchasing power of their assets over time and achieve a level of real returns consistent with their investment objectives. While inflation-linked bonds and derivatives have been developed to hedge the effects of inflation, their limited supply and liquidity lead many investors to continue to rely on the indirect hedging properties of traditional asset classes. In this paper, we assess these properties over different time horizons, in the context of a diversified portfolio. Using a vector error correction model, we find that effective short-run hedges, such as commodities, may not work over longer horizons and that tactical asset allocation could enhance investment returns following inflation surprises. 410 0$aIMF Working Papers; Working Paper ;$vNo. 2009/090 606 $aHedging (Finance) 606 $aInflation (Finance) 606 $aRisk 606 $aBanks and Banking$2imf 606 $aInflation$2imf 606 $aInvestments: Bonds$2imf 606 $aInvestments: Stocks$2imf 606 $aMoney and Monetary Policy$2imf 606 $aPrice Level$2imf 606 $aDeflation$2imf 606 $aPortfolio Choice$2imf 606 $aInvestment Decisions$2imf 606 $aPension Funds$2imf 606 $aNon-bank Financial Institutions$2imf 606 $aFinancial Instruments$2imf 606 $aInstitutional Investors$2imf 606 $aGeneral Financial Markets: General (includes Measurement and Data)$2imf 606 $aFinancing Policy$2imf 606 $aFinancial Risk and Risk Management$2imf 606 $aCapital and Ownership Structure$2imf 606 $aValue of Firms$2imf 606 $aGoodwill$2imf 606 $aMonetary Systems$2imf 606 $aStandards$2imf 606 $aRegimes$2imf 606 $aGovernment and the Monetary System$2imf 606 $aPayment Systems$2imf 606 $aMacroeconomics$2imf 606 $aInvestment & securities$2imf 606 $aFinancial services law & regulation$2imf 606 $aMonetary economics$2imf 606 $aStocks$2imf 606 $aBonds$2imf 606 $aHedging$2imf 606 $aCurrencies$2imf 606 $aPrices$2imf 606 $aFinancial institutions$2imf 606 $aFinancial regulation and supervision$2imf 606 $aMoney$2imf 606 $aFinancial risk management$2imf 607 $aUnited States$2imf 615 0$aHedging (Finance) 615 0$aInflation (Finance) 615 0$aRisk. 615 7$aBanks and Banking 615 7$aInflation 615 7$aInvestments: Bonds 615 7$aInvestments: Stocks 615 7$aMoney and Monetary Policy 615 7$aPrice Level 615 7$aDeflation 615 7$aPortfolio Choice 615 7$aInvestment Decisions 615 7$aPension Funds 615 7$aNon-bank Financial Institutions 615 7$aFinancial Instruments 615 7$aInstitutional Investors 615 7$aGeneral Financial Markets: General (includes Measurement and Data) 615 7$aFinancing Policy 615 7$aFinancial Risk and Risk Management 615 7$aCapital and Ownership Structure 615 7$aValue of Firms 615 7$aGoodwill 615 7$aMonetary Systems 615 7$aStandards 615 7$aRegimes 615 7$aGovernment and the Monetary System 615 7$aPayment Systems 615 7$aMacroeconomics 615 7$aInvestment & securities 615 7$aFinancial services law & regulation 615 7$aMonetary economics 615 7$aStocks 615 7$aBonds 615 7$aHedging 615 7$aCurrencies 615 7$aPrices 615 7$aFinancial institutions 615 7$aFinancial regulation and supervision 615 7$aMoney 615 7$aFinancial risk management 676 $a332.152 700 $aRoache$b Shaun$01614884 701 $aAttie$b Alexander$01637023 712 02$aInternational Monetary Fund.$bFinance Dept. 801 0$bDcWaIMF 906 $aBOOK 912 $a9910825976303321 996 $aInflation Hedging for Long-Term Investors$93978594 997 $aUNINA