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Inflation-hedging portfolios: Economic regimes matter

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  • Marie Briere
  • Ombretta Signori

Abstract

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Suggested Citation

  • Marie Briere & Ombretta Signori, 2012. "Inflation-hedging portfolios: Economic regimes matter," ULB Institutional Repository 2013/253373, ULB -- Universite Libre de Bruxelles.
    • Handle: RePEc:ulb:ulbeco:2013/253373
    Note: SCOPUS: ar.j
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    Cited by:

    1. Bampinas, Georgios & Panagiotidis, Theodore, 2016. "Hedging inflation with individual US stocks: A long-run portfolio analysis," The North American Journal of Economics and Finance, Elsevier, vol. 37(C), pages 374-392.
    2. Refk Selmi, 2023. "Do investors care about carbon risk? The impact of the Paris agreement on the inflation hedging performance of commodities," Economics Bulletin, AccessEcon, vol. 43(2), pages 1111-1121.
    3. Spierdijk, Laura & Umar, Zaghum, 2015. "Stocks, bonds, T-bills and inflation hedging: From great moderation to great recession," Journal of Economics and Business, Elsevier, vol. 79(C), pages 1-37.
    4. Mkaouar, Farid & Prigent, Jean-Luc & Abid, Ilyes, 2017. "Long-term investment with stochastic interest and inflation rates: The need for inflation-indexed bonds," Economic Modelling, Elsevier, vol. 67(C), pages 228-247.
    5. Nicolas Pesci & Jean-Philippe Aguilar & Victor James & Fabien Rouillé, 2022. "Inflation Forecasts and European Asset Returns: A Regime-Switching Approach," JRFM, MDPI, vol. 15(10), pages 1-20, October.
    6. Farid Mkaouar & Jean-Luc Prigent & Ilyes Abid, 2019. "A Diffusion Model for Long-Term Optimization in the Presence of Stochastic Interest and Inflation Rates," Computational Economics, Springer;Society for Computational Economics, vol. 54(1), pages 367-417, June.
    7. Arnold, Stephan & Auer, Benjamin R., 2015. "What do scientists know about inflation hedging?," The North American Journal of Economics and Finance, Elsevier, vol. 34(C), pages 187-214.
    8. Kees de Van & Daniele Fano & Herialt Mens & Giovanna Nicodano, 2014. "A Reporting Standard for Defined Contribution Pension Plans," CeRP Working Papers 143, Center for Research on Pensions and Welfare Policies, Turin (Italy).
    9. Refk Selmi, 2023. "Do investors care about carbon risk? The impact of the Paris agreement on the inflation hedging performance of commodities," Economics Bulletin, AccessEcon, vol. 43(2), pages 1111-1121.
    10. Camba-Méndez, Gonzalo, 2020. "On the inflation risks embedded in sovereign bond yields," Working Paper Series 2423, European Central Bank.

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