Inflation hedging for long-term investors / / prepared by Alexander P. Attie and Shaun K. Roache

• Autore: Attie Alexander P
• Pubblicazione: [Washington, DC], : International Monetary Fund, Finance Dept., c2009
• Edizione: 1st ed.
• Descrizione fisica: 1 online resource (39 p.)
• Disciplina: 332.152
• Soggetto topico: Hedging (Finance); Inflation (Finance); Risk
• Altri autori: RoacheShaun K
• 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
• 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.: 9910825976303321
• Lo trovi qui: Univ. Federico II
• Serie: IMF working paper ; ; WP/09/90.