How to order
IMF Publications

Working Papers in full text
2014 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004 2003 2002 2001 2000 1999 1998 1997 All


Other research-related activities and publications of the IMF can be found at IMF Research

Free Email Notification

Receive emails when we post new items of interest to you.

Subscribe or Modify your profile



Inflation Hedging for Long-Term Investors

Author/Editor: Attie, Alexander P. | Roache, Shaun K.
Authorized for Distribution: April 1, 2009
Electronic Access: Free Full Text (PDF file size is 1,048KB)
Use the free Adobe Acrobat Reader to view this PDF file.
 
Disclaimer: This Working Paper should not be reported as representing the views of the IMF. The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate.

Summary: 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.
 
Order a print copy
Series: Working Paper No. 09/90
Subject(s): Inflation | Capital markets | Private investment | Financial instruments | Hedge funds | Commodities | Asset prices | Economic models
Author's keyword(s): Inflation | Hedging | Investments | Portfolio Allocation | Diversification.
 
English  
    Published:   April 1, 2009        
            Format:   Paper
    Stock No:   WPIEA2009090   Pages:   37
    Price:   US$18.00 (Academic Rate: US$18.00 )
       
     
Please address any questions about this title to publications@imf.org.