Evidence on the portfolio holdings and transaction patterns of households suggests that the burden of inflation is not evenly distributed. We build a monetary growth model consistent with key features of cross- sectional household data and use this framework to study the distributional impact of...

Evidence on the portfolio holdings and transaction patterns of households suggests that the burden of inflation is not evenly distributed. We build a monetary growth model consistent with key features of cross-sectional household data and use this framework to study the distributional impact of...

What is the role of real assets in institutional portfolios? To answer, we first identify the major real asset classes, both public and private, review their salient features, and measure their performance since 1996.We focus on estimating real asset sensitivities to both macroeconomic variables...

Focusing on the role of the investment horizon, we analyze the inflation-hedging abilities of stocks, bonds, cash and direct commercial real estate investments. Based on vector autoregression for the UK market we find that the inflation-hedging abilities of all assets improve with the investment...

Inflation risk is greatest in times of national or global stress; inflation risk is a form of a “tail risk.” A traditional portfolio of stocks and bonds is exposed to inflation risk. The specific nature of an investor's liabilities and spending determines inflation sensitivity beyond that of...

Singled out for this study is a model of optimal asset management for a firm in a deterministic situation (i.e., given full information) that would allow to refine and modify a traditional definitions of discount rate as the highest rate of return on alternative investment opportunities. It is...

Existing research discards domestic equities as inflation hedge, yet, to the best of my knowledge, overlooks international equities. I show that international equities hedge against inflation level and inflation changes more effectively than domestic equities. The protection is stronger for...

The exceptional rise in government deficits following the subprime crisis, the recent commodity price spikes and the increase in inflation volatility have revived the debate on medium to long-term resurgence of inflation. Using a vector-autoregressive model, this paper investigates the...