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One asset does not fit all : inflation hedging by index and horizon
D'Amico, Stefania; King, Thomas B. - 2023
We examine the inflation-hedging properties of various financial assets and portfolios by estimating simple time … 30 years. There is no one-size-fits-all approach to inflation hedging: the optimal hedge depends on the particular types … - 2022, many historical hedging relationships failed, as monetary policy tightening lagged inflation. …
Persistent link: https://www.econbiz.de/10014249866
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Hedging interest rate risk using a structural model of credit risk
Huang, Jing-Zhi; Shi, Zhan - 2016
corporate bond returns to the entire yield curve, thereby providing a solution to the puzzle. In addition, hedging effectiveness … improvement in hedging effectiveness …
Persistent link: https://www.econbiz.de/10011810957
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Unexpected inflation and public pensions : the case of Hungary
Simonovits, András - 2023
value of benefits can often be neglected, especially under indexation to prices. At high and accelerating …, proportional indexation of benefits in progress devalues the lowest benefits, paying for above-the-average consumption share of …
Persistent link: https://www.econbiz.de/10014454694
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On the diversification of fixed income assets
Le Courtois, Olivier - In: Risks : open access journal 10 (2022) 2, pp. 1-21
This article introduces a new approach for dealing with the diversification/concentration risk of fixed income assets. Because Government bonds, corporate bonds, and mortgage backed securities constitute a large proportion of the assets of institutional investors in most countries, it is...
Persistent link: https://www.econbiz.de/10012806470
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Monetary policy and risk-taking : evidence from Thai corporate bond markets
Warinthip Worasak; Nuwat Nookhwun; Pongpitch Amatyakul - 2022
Persistent link: https://www.econbiz.de/10013431587
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Inflation expectations, real rates, and risk premia : evidence from inflation swaps
Haubrich, Joseph Gerard; Pennacchi, George G.; … - 2011
an indexation lag, and the term structure of expected inflation. Unlike prior studies, the model’s parameters are …
Persistent link: https://www.econbiz.de/10008903400
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Inflation-indexed bonds and the expectations hypothesis
Pflueger, Carolin E.; Viceira, Luis M. - 2011
"This paper empirically analyzes the Expectations Hypothesis (EH) in inflation-indexed (or real) bonds and in nominal bonds in the US and in the UK. We strongly reject the EH in inflation-indexed bonds, and also confirm and update the existing evidence rejecting the EH in nominal bonds. This...
Persistent link: https://www.econbiz.de/10008906602
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Inflation expectations from index-linked bonds : correcting for liquidity and inflation risk premia
Kajuth, Florian; Watzka, Sebastian - 2008
We provide a critical assessment of the method used by the Cleveland Fed to correct expected inflation derived from index-linked bonds for liquidity and inflation risk premia and show how their method can be adapted to account for time-varying inflation risk premia. Furthermore, we show how...
Persistent link: https://www.econbiz.de/10003951555
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Inflation risk premium : evidence from the TIPS market
Grishchenko, Olesya V.; Huang, Jing-Zhi - 2012
Persistent link: https://www.econbiz.de/10009546875
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Pricing TIPS and treasuries with linear regressions
Abrahams, Michael; Adrian, Tobias; Crump, Richard K.; … - 2012
We present an affine term structure model for the joint pricing of Treasury Inflation-Protected Securities (TIPS) and Treasury yield curves that adjusts for TIPS' relative illiquidity. Our estimation using linear regressions is computationally very fast and can accommodate unspanned factors. The...
Persistent link: https://www.econbiz.de/10009624301