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Inflation-Hedging Portfolios : Economic Regimes Matter

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SSRN-id1945818.pdf (206.5Kb)
Date
2012
Indexation documentaire
Economie financière
Subject
Inflation hedge; pension finance; shortfall risk; portfolio optimisation
Code JEL
E.E3.E31; G.G1.G11; G.G1.G12; G.G2.G23
Nom de la revue
Journal of Portfolio Management
Volume
38
Numéro
4
Date de publication
2012
Pages article
43-58
Nom de l'éditeur
Institutional Investor Systems
DOI
http://dx.doi.org/10.3905/jpm.2012.38.4.043
URI
https://basepub.dauphine.fr/handle/123456789/9296
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Auteur
Brière, Marie
status unknown
Signori, Ombretta
229847 AXA France
Type
Article accepté pour publication ou publié
Résumé en anglais
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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