by modelling the time-varying dynamics of asset returns and inflation, and then estimating the cost of hedging in ation … inflation risks are not necessarily reduced with the inclusion of real estate assets in the minimum variance portfolio. Our … investors for holding the less attractive inflation-linked debt asset. …

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 …

The sovereign's intention to issue inflation-linked bonds (ILB) is to save money. More than 15 years' experience with … estimation strategy of the liquidity premium based on Campbell & Shiller's (1996) hypothetical ILB yields. We calculate the …