| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w18135 |
| 来源ID | Working Paper 18135 |
| Inflation Tracking Portfolios | |
| Christopher T. Downing; Francis A. Longstaff; Michael A. Rierson | |
| 发表日期 | 2012-06-08 |
| 出版年 | 2012 |
| 语种 | 英语 |
| 摘要 | We propose a new approach to constructing inflation tracking portfolios. The key to this approach is the insight that asset returns track expected inflation far better than they track current realized inflation. Thus, we can construct portfolios that track next month's inflation much more closely than they track this month's inflation. We show this staggered hedging approach can eliminate nearly 90 percent of the tracking error of more conventional inflation hedging strategies. We also find that long-short positions in equities play a dominant role in the effective hedging of inflation risk over extended horizons. These results suggest that the goal of protecting portfolios against inflation may be more feasible that is commonly believed. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w18135 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/575811 |
| 推荐引用方式 GB/T 7714 | Christopher T. Downing,Francis A. Longstaff,Michael A. Rierson. Inflation Tracking Portfolios. 2012. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w18135.pdf（1748KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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