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Inflation-Hedging Portfolios : Economic Regimes Matter

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SSRN-id1945818.pdf (206.5Kb)
Date
2012
Dewey
Economie financière
Sujet
Inflation hedge; pension finance; shortfall risk; portfolio optimisation
JEL code
E.E3.E31; G.G1.G11; G.G1.G12; G.G2.G23
Journal issue
Journal of Portfolio Management
Volume
38
Number
4
Publication date
2012
Article pages
43-58
Publisher
Institutional Investor Systems
DOI
http://dx.doi.org/10.3905/jpm.2012.38.4.043
URI
https://basepub.dauphine.fr/handle/123456789/9296
Collections
  • LEDa : Publications
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Author
Brière, Marie
status unknown
Signori, Ombretta
229847 AXA France
Type
Article accepté pour publication ou publié
Abstract (EN)
The exceptional rise in government deficits following the subprime crisis, the recent commodity price spikes and the increase in inflation volatility have revived the debate on medium to long-term resurgence of inflation. Using a vector-autoregressive model, this paper investigates the relationships between asset returns and inflation and the optimal strategic asset allocation for investors seeking to hedge inflation risk in two different types of macroeconomic regimes. In a volatile macroeconomic environment marked by countercyclical supply shocks, cash, inflation-linked bonds and precious metals play an essential role, while in a more stable environment (“Great Moderation”) with procyclical demand shocks, cash and nominal bonds play the most significant role, followed by precious metals, real estate and equities. An ambitious investor in terms of required real returns should have a larger weighting in equities, real estate and precious metals.

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