indexation lag, the term structure of expected inflation, and inflation swap rates. The model parameters are estimated using data … term structures are driven by state variables that include the short term real interest rate, expected inflation, a factor … that models the changing level to which inflation is expected to revert, as well as four volatility factors that follow …

We examine the inflation-hedging properties of various financial assets and portfolios by estimating simple time …-series models of the joint dynamics of each asset-inflation pair, for multiple inflation indices and at horizons from one month to … 30 years. There is no one-size-fits-all approach to inflation hedging: the optimal hedge depends on the particular types …