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Inflation Hedging for Long-Term Investors / / Shaun Roache, Alexander Attie



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Autore: Roache Shaun Visualizza persona
Titolo: Inflation Hedging for Long-Term Investors / / Shaun Roache, Alexander Attie Visualizza cluster
Pubblicazione: Washington, D.C. : , : International Monetary Fund, , 2009
Descrizione fisica: 1 online resource (39 p.)
Soggetto topico: Hedging (Finance)
Inflation (Finance)
Risk
Banks and Banking
Inflation
Investments: Bonds
Investments: Stocks
Money and Monetary Policy
Price Level
Deflation
Portfolio Choice
Investment Decisions
Pension Funds
Non-bank Financial Institutions
Financial Instruments
Institutional Investors
General Financial Markets: General (includes Measurement and Data)
Financing Policy
Financial Risk and Risk Management
Capital and Ownership Structure
Value of Firms
Goodwill
Monetary Systems
Standards
Regimes
Government and the Monetary System
Payment Systems
Macroeconomics
Investment & securities
Financial services law & regulation
Monetary economics
Stocks
Bonds
Hedging
Currencies
Prices
Financial institutions
Financial regulation and supervision
Money
Financial risk management
Soggetto geografico: United States
Altri autori: AttieAlexander  
Note generali: "April 2009".
Nota di bibliografia: Includes bibliographical references.
Nota di contenuto: 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 Strategy
3. 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
Sommario/riassunto: Long-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.
Titolo autorizzato: Inflation Hedging for Long-Term Investors  Visualizza cluster
ISBN: 1-4623-0028-6
1-4527-9749-8
1-282-84310-9
1-4518-7237-2
9786612843105
Formato: Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione: Inglese
Record Nr.: 9910788336403321
Lo trovi qui: Univ. Federico II
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Serie: IMF Working Papers; Working Paper ; ; No. 2009/090