• Out-of-Stock

An Empirical Analysis of the Benefits of Inflation-Linked Bonds [extrait BMI 124]

Author :
Add to wishlist

Version numérique PDF

This paper proposes an empirical analysis of the welfare gains involved in introducing various assets with inflation-hedging properties for long-term investors facing inflationlinked liabilities. Using formal intertemporal spanning tests, we find that interest rate risk dominates inflation risk so dramatically within instantaneous liability risk that introducing inflation-linked bonds, commodities or real estate within the liability-hedging portfolio has relatively little impact on investors? welfare from a short-term perspective. This holds true in spite of the relatively good (in the case of real assets) and even perfect (in the case of inflation-linked bonds) inflation-hedging benefits of these asset classes. On the other hand, substantial welfare gains are obtained as the investment horizon converges towards the liability maturity date. Even more substantial utility gains are obtained if these asset classes are also used in the performance-seeking portfolio, where they provide diversification benefits with respect to bond and equity returns.JEL Classification: G11, G23Keywords: inflation, liability-hedging portfolio, performance-seeking portfolio, real assets, utility gains.

Auteurs :Martellini Lionel
Extrait de la revue BMI 124


16 other products in the same category:

Bankers, Markets &...
  • Out-of-Stock
Availability: Out of stock


  • The Complementarity of regulatory and internal governance mechanisms in banks
  • Bankruptcy Prediction Models: How to Choose the Most Relevant Variables?
  • Hedging and Financing Decisions: A SIMULTANEOUS EQUATIONS MODEL
  • A comparison of the profi tability of islamic and conventional banks: THE CASE OF GCC COUNTRIES
This website uses cookies to ensure you get the best experience on our website