Inflation hedging for long-term investors /

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...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autores principales: Attié, Alexander P. (Autor), Roache, Shaun K. (Autor)
Autor Corporativo: International Monetary Fund. Finance Department
Formato: Electrónico eBook
Idioma:Inglés
Publicado: [Washington, DC] : International Monetary Fund, ©2009.
Colección:IMF working paper ; WP/09/90.
Temas:
Hedging (Finance)
Inflation (Finance)
Risk.
Couverture (Finances)
Inflation.
Risque.
Risk
Portfolio-Management.
Hedging.
Inflation, Economic
Acceso en línea:Texto completo
Tabla de Contenidos:
  • 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

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