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 …

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 …