Essays about: "Jakub Kacperczyk"

Found 1 essay containing the words Jakub Kacperczyk.

  1. 1. In the Core of the Storm: Revisiting Inflation Hedging Properties Within and Across Asset Classes

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Jakub Kacperczyk; Moritz Kornherr; [2023]
    Keywords : Inflation hedging; Inflation risk premium; Inflation forecasting; Bond-Stock Correlation;

    Abstract : The recent surge in inflation has reignited discussions on hedging inflation risks, forming the focal point of this study. In our paper we consider conventional asset classes from 1968 to 2023 as well as alternative assets from 2020 to 2023 and find that no asset class provides a statistically significant hedge against core inflation shocks, while commodities and currencies can hedge headline and energy inflation risk. READ MORE