Essays about: "Inflation hedging"

Showing result 1 - 5 of 13 essays containing the words Inflation hedging.

  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

  3. 2. Inflation risk revisited : The hedging properties of major asset classes

    University essay from Karlstads universitet/Handelshögskolan (from 2013)

    Author : Andreas Berdén; Hilding Larsson; [2023]
    Keywords : Inflation; unexpected inflation; inflation hedge; inflation-linked bonds; TIPS; treasury bills; stocks; bonds; real estate; gold; Inflation; oväntad inflation; inflationsskydd; inflationskopplade obligationer; statsskuldväxlar; aktier; obligationer; fastigheter; guld;

    Abstract : This paper is in large parts an update to a paper by Bekaert and Wang from 2010 called Inflation risk and the inflation risk premium. Its purpose is to find insights into the inflation hedging properties of the major asset classes. READ MORE

  4. 3. Title: Does Bitcoin hedge inflation risk? A multivariate time series analysis

    University essay from Göteborgs universitet/Graduate School

    Author : Domenico Roberto Curciarello; [2022-06-29]
    Keywords : Bitcoin; 5 years– 5 years forward inflation expectation rate; VAR; VARX; Granger causality; Impulse response function; Forecast error variance decomposition;

    Abstract : This thesis investigates whether Bitcoin can be considered a valuable hedge against inflation risk. The research examines the relationship between Bitcoin and inflation, the two variables' forecast ability, and how an exogenous shock simulated on one variable affects the other. READ MORE

  5. 4. Hedging inflation in Sweden- An analysis of gold, stocks, and real estates inflation hedging capability.

    University essay from Göteborgs universitet/Graduate School

    Author : Arvinder Singh; Johannes Schmidt; [2022-06-29]
    Keywords : Fisher hypothesis; Gold; Hedging; Inflation; Real Estate; Rollings Windows; Stocks;

    Abstract : The recent increase in inflation has made the discussion of inflation hedging a top priority for academics, portfolio managers and investors. In this study, we analyse which asset class out of gold, stocks, and real estate has been the best hedge against inflation in Sweden since 1986. READ MORE

  6. 5. Portfolio Diversification with Commodities : From a Swedish Perspective

    University essay from Linköpings universitet/Nationalekonomi; Linköpings universitet/Filosofiska fakulteten

    Author : Simon Derenkow; Max Walméus; [2022]
    Keywords : Commodities; DCC-GARCH; OMXSPI; Inflation; Correlation; Diversification; Modern Portfolio Theory;

    Abstract : This paper investigates the diversification characteristics of commodities in relation to the Swedish equity index OMXSPI. Much of the previous literature concludes that gold and oil possess diversification or hedging properties against the US equity markets. READ MORE