LEADER 06455oam 22016214 450 001 9910960080803321 005 20250426110712.0 010 $a9786612843105 010 $a9781462300280 010 $a1462300286 010 $a9781452797496 010 $a1452797498 010 $a9781282843103 010 $a1282843109 010 $a9781451872378 010 $a1451872372 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(IMF)WPIEA2009090 035 $aWPIEA2009090 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 $a"April 2009". 311 08$a9781451916720 311 08$a1451916728 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 $aBonds$2imf 606 $aCapital and Ownership Structure$2imf 606 $aCurrencies$2imf 606 $aDeflation$2imf 606 $aFinancial institutions$2imf 606 $aFinancial Instruments$2imf 606 $aFinancial regulation and supervision$2imf 606 $aFinancial Risk and Risk Management$2imf 606 $aFinancial risk management$2imf 606 $aFinancial services law & regulation$2imf 606 $aFinancing Policy$2imf 606 $aGeneral Financial Markets: General (includes Measurement and Data)$2imf 606 $aGoodwill$2imf 606 $aGovernment and the Monetary System$2imf 606 $aHedging$2imf 606 $aInflation$2imf 606 $aInstitutional Investors$2imf 606 $aInvestment & securities$2imf 606 $aInvestment Decisions$2imf 606 $aInvestments: Bonds$2imf 606 $aInvestments: Stocks$2imf 606 $aMacroeconomics$2imf 606 $aMonetary economics$2imf 606 $aMonetary Systems$2imf 606 $aMoney and Monetary Policy$2imf 606 $aMoney$2imf 606 $aNon-bank Financial Institutions$2imf 606 $aPayment Systems$2imf 606 $aPension Funds$2imf 606 $aPortfolio Choice$2imf 606 $aPrice Level$2imf 606 $aPrices$2imf 606 $aRegimes$2imf 606 $aStandards$2imf 606 $aStocks$2imf 606 $aValue of Firms$2imf 607 $aUnited States$2imf 615 0$aHedging (Finance) 615 0$aInflation (Finance) 615 0$aRisk. 615 7$aBanks and Banking 615 7$aBonds 615 7$aCapital and Ownership Structure 615 7$aCurrencies 615 7$aDeflation 615 7$aFinancial institutions 615 7$aFinancial Instruments 615 7$aFinancial regulation and supervision 615 7$aFinancial Risk and Risk Management 615 7$aFinancial risk management 615 7$aFinancial services law & regulation 615 7$aFinancing Policy 615 7$aGeneral Financial Markets: General (includes Measurement and Data) 615 7$aGoodwill 615 7$aGovernment and the Monetary System 615 7$aHedging 615 7$aInflation 615 7$aInstitutional Investors 615 7$aInvestment & securities 615 7$aInvestment Decisions 615 7$aInvestments: Bonds 615 7$aInvestments: Stocks 615 7$aMacroeconomics 615 7$aMonetary economics 615 7$aMonetary Systems 615 7$aMoney and Monetary Policy 615 7$aMoney 615 7$aNon-bank Financial Institutions 615 7$aPayment Systems 615 7$aPension Funds 615 7$aPortfolio Choice 615 7$aPrice Level 615 7$aPrices 615 7$aRegimes 615 7$aStandards 615 7$aStocks 615 7$aValue of Firms 676 $a332.152 700 $aRoache$b Shaun$01815930 701 $aAttie$b Alexander$01816061 712 02$aInternational Monetary Fund.$bFinance Dept. 801 0$bDcWaIMF 906 $aBOOK 912 $a9910960080803321 996 $aInflation Hedging for Long-Term Investors$94371705 997 $aUNINA