In this paper, a dynamic inflation-protected investment strategy is presented, which is based on traditional asset … classes and Markov-switching models. Different stock market, as well as inflation regimes are identified, and within those … regimes, the inflation hedging potential of stocks, bonds, real estate, commodities and gold are investigated. Within each …

estimate is strongly sensitive on the upside. -- inflation targeting ; price-level targeting ; optimal indexation ; government … feature of the model is that the extent of bond indexation is determined endogenously in response to monetary policy as part …-term inflation risk is reduced by an order of magnitude compared to inflation targeting. Consequently, real bond returns are …

We propose a new approach to constructing inflation tracking portfolios. The key to this approach is the insight that … asset returns track expected inflation far better than they track current realized inflation. Thus, we can construct … portfolios that track next month's inflation much more closely than they track this month's inflation. We show this staggered …

. Furthermore, both asset classes are found possessing weak inflation hedging characteristics during inflationary periods …

We propose a new approach to constructing inflation tracking portfolios. The key to this approach is the insight that … asset returns track expected inflation far better than they track current realized inflation. Thus, we can construct … portfolios that track next month's inflation much more closely than they track this month's inflation. We show this staggered …