Empirical research on the benefits of investing in inflation-linked bonds usually relies on a limited number of … observations due to the relatively recent introduction of these assets. We estimate models for the break-even inflation rate and … use these to create hypothetical inflation-linked bond returns. We compare these with the return on actual inflation …

This paper investigates the determinants of nominal yields of government bonds in the eurozone. The pooled mean group … yields of long-term government bonds in a set of 11 eurozone countries. Furthermore, autoregressive distributive lag (ARDL …

We revisit the concept of the cost of hedging inflation risks put forward in Bodie (1976). When doing so, we employ a …-varying compensation for expected and unexpected inflation shocks embedded in the sovereign bond yields of Germany, France, Japan and the … reflection of a low real risk-free rate, low inflation expectations and a low cost for hedging inflation risks. We have not …

inflation volatility have revived the debate on medium to long-term resurgence of inflation. This paper presents the optimal … strategic asset allocation for investors seeking to hedge inflation risk. Using a vector-autoregressive model, we investigate …, inflation-linked bonds, equities, commodities and real estate play an essential role. In a stable environment (“Great Moderation …

We study the relation between US inflation and the performance of global asset classes (including bonds, stocks … recent 30 years (1991–2020). We find that most assets had positive average real returns in both low- and high-inflation years …. While average real returns were lower in years with higher inflation for most assets, many of the differences are not …