Show simple item record

dc.contributor.authorBrière, Marie
dc.contributor.authorSignori, Ombretta
dc.date.accessioned2011-12-06T15:43:31Z
dc.date.available2011-12-06T15:43:31Z
dc.date.issued2009-03
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/7741
dc.language.isoenen
dc.subjectconditional correlationen
dc.subjectconditional volatilityen
dc.subjectportfolio choiceen
dc.subjectoptimal allocationen
dc.subjectInflation-linked bondsen
dc.subject.ddc332en
dc.subject.classificationjelE31en
dc.subject.classificationjelG11en
dc.subject.classificationjelG12en
dc.titleDo Inflation-Linked Bonds Still Diversify ?en
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenThe diversifying power of inflation-linked (IL) bonds relative to traditional asset classes has changed significantly. In this paper, we study the dynamics of conditional volatilities and correlations for three asset classes, IL bonds, nominal bonds, and equities, in the USA and Europe. Using a DCC-MVGARCH for the period 1997-2007, we highlight the change that took place in 2003. Although IL bonds once had definite diversification power, they are now highly correlated with nominal bonds and have reached similar volatility levels. As a result, the two asset classes are practically substitutable. This seems to be due to more stable inflation expectations and to a more liquid IL bond market. Although diversification was a valuable reason for introducing IL bonds in a global portfolio before 2003, this is no longer the case. Dynamic portfolio optimisation using our estimates of conditional correlations and volatilities clearly demonstrates that the optimal weight of IL bonds in a portfolio decreased sharply in 2003 in favour of nominal bonds and equities.en
dc.relation.isversionofjnlnameEuropean Financial Management
dc.relation.isversionofjnlvol15en
dc.relation.isversionofjnlissue2en
dc.relation.isversionofjnldate2009-03
dc.relation.isversionofjnlpages279-297en
dc.relation.isversionofdoihttp://dx.doi.org/10.1111/j.1468-036X.2008.00470.xen
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherBlackwellen
dc.subject.ddclabelEconomie financièreen


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record