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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

Can risk models extract inflation expectations from financial market data? : evidence from the inflation protected securities of six countries

Kita, Arben; Tortorice, Daniel L. - 2018

Persistent link: https://www.econbiz.de/10012063682

New measures for inflation uncertainty and disagreement from treasury auctions : alternative to surveys

Güler, Mustafa Haluk; Polat, Tandoğan - In: Emerging markets finance & trade : a journal of the … 54 (2018) 4/5/6, pp. 881-900

Persistent link: https://www.econbiz.de/10012123524

Internationale Preisindexanleihen als Instrument zum Schutz vor Inflation und zum Schätzen von Inflationserwartungen

Körnert, Jan; Abendroth, Jan Hendrik; Holdschick, Marén; … - 2003

Persistent link: https://www.econbiz.de/10001809951

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

Bond futures, inflation-indexed bonds, and inflation risk premium

Kanas, Angelos - In: Journal of international financial markets, … 28 (2014), pp. 82-99

Persistent link: https://www.econbiz.de/10010411577

Inflation-indexed bonds and the expectations hypothesis

Pflueger, Carolin E.; Viceira, Luis M. - 2011

Persistent link: https://www.econbiz.de/10008939178

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

Inflation expectations from index-linked bonds : correcting for liquidity and inflation risk premia

Kajuth, Florian; Watzka, Sebastian - In: The quarterly review of economics and finance : journal … 51 (2011) 3, pp. 225-235

Persistent link: https://www.econbiz.de/10009271743

Inflation-indexed bonds and the expectations hypothesis

Pflueger, Carolin E.; Viceira, Luis M. - In: Annual review of financial economics 3 (2011), pp. 139-158

Persistent link: https://www.econbiz.de/10009500823

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