What do scientists know about inflation hedging?
Tài liệu tham khảo
Adrangi, 2003, Economic activity, inflation, and hedging: The case of gold and silver investments, Journal of Wealth Management, 6, 60, 10.3905/jwm.2003.320482
Adrangi, 2004, REIT investments and hedging against inflation, Journal of Real Estate Portfolio Management, 10, 97, 10.1080/10835547.2004.12089701
Ahmed, 2005, Does inflation matter for equity returns?, Journal of Asset Management, 6, 259, 10.1057/palgrave.jam.2240180
Alagidede, 2010, Can common stocks provide a hedge against inflation? Evidence from African countries, Review of Financial Economics, 19, 91, 10.1016/j.rfe.2010.04.002
Amenc, 2009, Inflation-hedging properties of real assets and implications for asset-liability management decisions, Journal of Portfolio Management, 35, 94, 10.3905/JPM.2009.35.4.094
Anari, 2002, House prices and inflation, Real Estate Economics, 30, 67, 10.1111/1540-6229.00030
Atkeson, 2001, Are Phillips curves useful for forecasting inflation?, Federal Reserve Bank of Minneapolis Quarterly Review, 25, 2
Bai, 2003, Computation and analysis of multiple structural change models, Journal of Applied Econometrics, 18, 1, 10.1002/jae.659
Barkham, 1996, The inflation-hedging characteristics of UK property, Journal of Property Finance, 7, 62, 10.1108/09588689610111629
Batten, 2014, On the economic determinants of the gold–inflation relation, Resources Policy, 41, 101, 10.1016/j.resourpol.2014.03.007
Baur, 2011, Explanatory mining for gold: Contrasting evidence from simple and multiple regressions, Resources Policy, 36, 265, 10.1016/j.resourpol.2011.03.003
Baur, 2014
Baur, 2010, Is gold a hedge or a safe haven? An analysis of stocks, bonds and gold, Financial Review, 45, 217, 10.1111/j.1540-6288.2010.00244.x
Baur, 2010, Is gold a safe haven? International evidence, Journal of Banking & Finance, 34, 1886, 10.1016/j.jbankfin.2009.12.008
Beckmann, 2015, Does gold act as a hedge or a safe haven for stocks? A smooth transition approach, Economic Modelling, 48, 16, 10.1016/j.econmod.2014.10.044
Beckmann, 2013, Gold as an inflation hedge in a time-varying coefficient framework, North American Journal of Economics and Finance, 24, 208, 10.1016/j.najef.2012.10.007
Bekaert, 2010, Inflation and the stock market: Understanding the Fed model, Journal of Monetary Economics, 57, 278, 10.1016/j.jmoneco.2010.02.004
Bekaert, 2010, Inflation risk and the inflation risk premium, Economic Policy, 25, 755, 10.1111/j.1468-0327.2010.00253.x
Białkowski, 2014, The gold price in times of crisis, International Review of Financial Analysis
Blose, 2010, Gold prices, cost of carry, and expected inflation, Journal of Economics and Business, 62, 35, 10.1016/j.jeconbus.2009.07.001
Bodie, 1976, Common stocks as a hedge against inflation, Journal of Finance, 31, 459, 10.1111/j.1540-6261.1976.tb01899.x
Boudoukh, 1993, Stock returns and inflation: A long-horizon perspective, American Economic Review, 83, 1346
Brière, 2012, Inflation-hedging portfolios: Economic regimes matter, Journal of Portfolio Management, 38, 43, 10.3905/jpm.2012.38.4.043
Brown, 1987, On the use of gold as a fixed income security, Financial Analysts Journal, 43, 73, 10.2469/faj.v43.n4.73
Campbell, 1996, A scorecard for indexed government debt, NBER Macroeconomics Annual, 11, 155, 10.1086/654299
Caporale, 2000, Political regime change and the real interest rate, Journal of Money, Credit and Banking, 32, 320, 10.2307/2601168
Carmichael, 1983, Fisher's paradox and the theory of interest, American Economic Review, 73, 619
Charemza, 2005, Is inflation stationary?, Applied Economics, 37, 901, 10.1080/00036840500076721
Charles, 2015, Will precious metals shine? A market efficiency perspective, International Review of Financial Analysis, 10.1016/j.irfa.2015.01.018
Chatrath, 1998, REITs and inflation: A long-run perspective, Journal of Real Estate Research, 16, 311, 10.1080/10835547.1998.12090955
Chen, 1988, Interest-rate sensitivity of real estate investment trusts, Journal of Real Estate Research, 3, 13, 10.1080/10835547.1988.12090561
Christopoulos, 2007, A long-run non-linear approach to the Fisher effect, Journal of Money, Credit and Banking, 39, 543, 10.1111/j.0022-2879.2007.00035.x
Chua, 1982, Gold as an inflation hedge: A comparative study of six major industrial countries, Journal of Business Finance & Accounting, 9, 191, 10.1111/j.1468-5957.1982.tb00985.x
Ciner, 2013, Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates, International Review of Financial Analysis, 29, 202, 10.1016/j.irfa.2012.12.001
Clemente, 1998, Testing for a unit root in variables with a double change in the mean, Economics Letters, 59, 175, 10.1016/S0165-1765(98)00052-4
Cochran, 1993, Inflation's negative effects on real stock prices: New evidence and a test of the proxy effect hypothesis, Applied Economics, 25, 263, 10.1080/00036849300000032
Coudert, 2011, Gold and financial assets: Are there any safe havens in bear markets?, Economics Bulletin, 31, 1613
Crowder, 1996, The long-run relationship between nominal interest rates and inflation: The Fisher equation revisited, Journal of Money, Credit and Banking, 28, 102, 10.2307/2077969
Culver, 1997, Is there a unit root in the inflation rate? Evidence from sequential break and panel data models, Journal of Applied Econometrics, 12, 435, 10.1002/(SICI)1099-1255(199707)12:4<435::AID-JAE430>3.0.CO;2-1
Darby, 1975, The financial and tax effects of monetary policy on interest rates, Economic Inquiry, 13, 266, 10.1111/j.1465-7295.1975.tb00993.x
DeJong, 1992, The power problems of unit root test in time series with autoregressive errors, Journal of Econometrics, 53, 323, 10.1016/0304-4076(92)90090-E
Ely, 1997, Are stocks a hedge against inflation? International evidence using a long-run approach, Journal of International Money and Finance, 16, 141, 10.1016/S0261-5606(96)00039-3
Enders, 2001, Cointegration and threshold adjustment, Journal of Business & Economic Statistics, 19, 166, 10.1198/073500101316970395
Engle, 1987, Co-integration and error correction: Representation, estimation, and testing, Econometrica, 55, 251, 10.2307/1913236
Engsted, 2002, The relation between asset returns and inflation at short and long horizons, Journal of International Financial Markets, Institutions and Money, 12, 101, 10.1016/S1042-4431(01)00052-X
Erb, 2013, The golden dilemma, Financial Analysts Journal, 69, 10, 10.2469/faj.v69.n4.1
Evans, 1995, Do expected shifts in inflation affect estimates of the long-run Fisher relation?, Journal of Finance, 50, 225, 10.1111/j.1540-6261.1995.tb05172.x
Fama, 1975, Short-term interest rates as predictors of inflation, American Economic Review, 65, 269
Fama, 1981, Stock returns, real activity, inflation, and money, American Economic Review, 71, 545
Fama, 1977, Asset returns and inflation, Journal of Financial Economics, 5, 115, 10.1016/0304-405X(77)90014-9
Fisher, 1930
Froot, 1995, Hedging portfolios with real assets, Journal of Portfolio Management, 21, 60, 10.3905/jpm.1995.409527
Ganesan, 1998, The inflation-hedging characteristics of real and financial assets in Hong Kong, Journal of Real Estate Portfolio Management, 4, 55, 10.1080/10835547.1998.12089548
Garbade, 1978, Time variation in the relationship between inflation and interest rates, Journal of Monetary Economics, 4, 755, 10.1016/0304-3932(78)90027-2
Garcia, 2007
Garcia, 1996, An analysis of the real interest rate under regime shifts, Review of Economics and Statistics, 78, 111, 10.2307/2109851
Geltner, 2003, Appraisal smoothing and price discovery in real estate markets, Urban Studies, 40, 1047, 10.1080/0042098032000074317
Geske, 1983, The fiscal and monetary linkage between stock returns and inflation, Journal of Finance, 38, 1, 10.1111/j.1540-6261.1983.tb03623.x
Ghosh, 2004, Gold as an inflation hedge?, Studies in Economics and Finance, 22, 1, 10.1108/eb043380
Glascock, 2000, Further evidence on the integration of REIT, bond, and stock returns, Journal of Real Estate Finance and Economics, 20, 177, 10.1023/A:1007877321475
Glascock, 2002, REIT returns and inflation: Perverse or reverse causality effects?, Journal of Real Estate Finance and Economics, 24, 301, 10.1023/A:1015221515787
Greene, 2008
Granger, 1983
Granger, 2001, Spurious regressions with stationary series, Applied Economics, 33, 899, 10.1080/00036840121734
Gultekin, 1983, Stock market returns and inflation forecasts, Journal of Finance, 38, 663, 10.1111/j.1540-6261.1983.tb02495.x
Gultekin, 1983, Stock market returns and inflation: Evidence from other countries, Journal of Finance, 38, 49, 10.1111/j.1540-6261.1983.tb03625.x
Hardin, 2012, REIT stock prices with inflation hedging and illusion, Journal of Real Estate Finance and Economics, 45, 262, 10.1007/s11146-010-9259-y
Hartzell, 1987, Real estate returns and inflation, Real Estate Economics, 15, 617, 10.1111/1540-6229.00407
Haug, 2011, Structural breaks and the Fisher effect, B.E. Journal of Macroeconomics, 11, 1, 10.2202/1935-1690.2170
Haug, 2014, On real interest rate persistence: The role of breaks, Applied Economics, 46, 1058, 10.1080/00036846.2013.864043
Hautcoeur, 2010, The golden constant, Journal of Economics, 100, 189, 10.1007/s00712-010-0124-5
Hendry, 1986, Econometric modelling with cointegrated variables: An overview, Oxford Bulletin of Economics and Statistics, 48, 201, 10.1111/j.1468-0084.1986.mp48003001.x
Hoesli, 2008, The inflation hedging characteristics of US and UK investments: A multi-factor error correction approach, Journal of Real Estate Finance and Economics, 36, 183, 10.1007/s11146-007-9062-6
Hoevenaars, 2008, Strategic asset allocation with liabilities: Beyond stocks and bonds, Journal of Economic Dynamics and Control, 32, 2939, 10.1016/j.jedc.2007.11.003
Huang, 2007, Private commercial real estate equity returns and inflation, Journal of Portfolio Management, 33, 63, 10.3905/jpm.2007.698906
Jaffe, 1989, Gold and gold stocks as investments for institutional portfolios, Financial Analysts Journal, 45, 53, 10.2469/faj.v45.n2.53
Jaffe, 1976, The Fisher effect for risky assets: An empirical investigation, Journal of Finance, 31, 447, 10.2307/2326616
Jastram, 2009
Kaul, 1987, Stock returns and inflation: The role of the monetary sector, Journal of Financial Economics, 18, 253, 10.1016/0304-405X(87)90041-9
Kim, 2011, Common stocks as a hedge against inflation: Evidence from century-long US data, Economics Letters, 113, 168, 10.1016/j.econlet.2011.07.003
Knif, 2008, Stock market reaction to good and bad inflation news, Journal of Financial Research, 31, 141, 10.1111/j.1475-6803.2008.00235.x
Kolari, 2001, Stock prices and inflation, Journal of Financial Research, 24, 587, 10.1111/j.1475-6803.2001.tb00832.x
Kothari, 2004, Asset allocation with inflation-protected bonds, Financial Analysts Journal, 60, 54, 10.2469/faj.v60.n1.2592
Lai, 1997, Long-term persistence in the real interest rate: Some evidence of a fractional unit root, International Journal of Finance and Economics, 2, 225, 10.1002/(SICI)1099-1158(199707)2:3<225::AID-IJFE49>3.0.CO;2-C
Lai, 2004, On structural shifts and stationarity of the ex ante real interest rate, International Review of Economics and Finance, 13, 217, 10.1016/S1059-0560(03)00039-X
Lai, 2008, The puzzling unit root in the real interest rate and its inconsistency with intertemporal consumption behavior, Journal of International Money and Finance, 27, 140, 10.1016/j.jimonfin.2007.09.003
Lee, 2012, Long-run inflation-hedging properties of United State equity real estate investment trusts (REITs): Before and after the structural break in the 1990, African Journal of Business Management, 6, 2162
Le Moigne, 2008, Private real estate as an inflation hedge: An updated look with a global perspective, Journal of Real Estate Portfolio Management, 14, 263, 10.1080/10835547.2008.12089820
Levin, 2006
Lintner, 1975, Inflation and security returns, Journal of Finance, 30, 259
Lothian, 2001, Equity returns and inflation: The puzzlingly long lags, Research in Finance and Banking, 2, 149
Lothian, 1998, International financial relations under the current float: Evidence from panel data, Open Economies Review, 9, 293, 10.1023/A:1026440213785
Lucey, 2011, What do academics think they know about gold, Alchemist, 62, 12
Lucey, 2015, What precious metals act as safe havens, and when? Some US evidence, Applied Economics Letters, 22, 35, 10.1080/13504851.2014.920471
Luintel, 2006, Are common stocks a hedge against inflation?, Journal of Financial Research, 29, 1, 10.1111/j.1475-6803.2006.00163.x
Lütkepohl, 1999, Order selection in testing for the cointegrating rank of a VAR process, 168
Madsen, 2007, Pitfalls in estimates of the relationship between stock returns and inflation, Empirical Economics, 33, 1, 10.1007/s00181-006-0080-7
Mahdavi, 1997, Gold and commodity prices as leading indicators of inflation: Tests of long-run relationship and predictive performance, Journal of Economics and Business, 49, 475, 10.1016/S0148-6195(97)00034-9
Maki, 2003, Nonparametric cointegration analysis of the nominal interest rate and expected inflation rate, Economics Letters, 81, 349, 10.1016/S0165-1765(03)00216-7
Matysiak, 1996, The long-term inflation-hedging characteristics of UK commercial property, Journal of Property Finance, 7, 50, 10.1108/09588689610111610
McCown, 2006
McCown, 2007
Million, 2004, Central bank's interventions and the Fisher hypothesis: A threshold cointegration investigation, Economic Modelling, 21, 1051, 10.1016/j.econmod.2004.03.002
Mishkin, 1984, The real interest rate: A multi-country empirical study, Canadian Journal of Economics, 17, 283, 10.2307/134958
Mishkin, 1992, Is the Fisher effect for real? A reexamination of the relationship between inflation and interest rates, Journal of Monetary Economics, 30, 195, 10.1016/0304-3932(92)90060-F
Modigliani, 1979, Inflation, rational valuation and the market, Financial Analysts Journal, 35, 24, 10.2469/faj.v35.n2.24
Mundell, 1963, Inflation and real interest, Journal of Political Economy, 71, 280, 10.1086/258771
Neely, 2008, Real interest rate persistence: Evidence and implications, Federal Reserve Bank of St. Louis Review, 90, 609
Nelson, 1977, Short-term interest rates as predictors of inflation: On testing the hypothesis that the real rate of interest is constant, American Economic Review, 67, 478
Nelson, 1976, Inflation and rates of return on common stocks, Journal of Finance, 31, 471, 10.1111/j.1540-6261.1976.tb01900.x
O’Connor, 2015, The financial economics of gold – A survey, International Review of Financial Analysis, 10.1016/j.irfa.2015.07.005
Obereiner, 2012, Inflation-hedging properties of indirect real estate investments in Germany, Journal of Property Investment and Finance, 30, 218, 10.1108/14635781211223806
Park, 2012, Direct commercial real estate as an inflation hedge: Korean evidence, Journal of Real Estate Portfolio Management, 18, 187, 10.1080/10835547.2012.12089929
Parkin, 2008, Inflation
Perron, 1996, Useful modifications to some unit root tests with dependent errors and their local asymptotic properties, Review of Economic Studies, 63, 435, 10.2307/2297890
Pullen, 2014, A comparative analysis of the investment characteristics of alternative gold assets, Abacus, 50, 76, 10.1111/abac.12023
Rapach, 2005, Regime changes in international real interest rates: Are they a monetary phenomenon?, Journal of Money, Credit and Banking, 37, 887, 10.1353/mcb.2005.0057
Roll, 1972, Interest rates on monetary assets and commodity price index changes, Journal of Finance, 27, 251, 10.1111/j.1540-6261.1972.tb00958.x
Rose, 1988, Is the real interest rate stable?, Journal of Finance, 43, 1095, 10.1111/j.1540-6261.1988.tb03958.x
Rubbaniy, 2011
Rödel, 2012
Rödel, 2014, Inflation hedging with international equities, Journal of Portfolio Management, 40, 41, 10.3905/jpm.2014.40.2.041
Rödel, 2012, Infrastructure as hedge against inflation – Fact or fantasy?, Journal of Alternative Investments, 15, 110, 10.3905/jai.2012.15.1.110
Saikkonen, 2000, Testing for the cointegrating rank of a VAR process with an intercept, Econometric Theory, 16, 373, 10.1017/S0266466600163042
Saikkonen, 2000, Testing for the cointegrating rank of a VAR process with structural shifts, Journal of Business and Economic Statistics, 18, 451
Saikkonen, 2000, Trend adjustment prior to testing for the cointegrating rank of a vector autoregressive process, Journal of Time Series Analysis, 21, 435, 10.1111/1467-9892.00192
Schotman, 2000, Horizon sensitivity of the inflation hedge of stocks, Journal of Empirical Finance, 7, 301, 10.1016/S0927-5398(00)00013-X
Schwert, 1987, Effects of model specification on tests for unit roots in macroeconomic data, Journal of Monetary Economics, 20, 73, 10.1016/0304-3932(87)90059-6
Schwert, 1989, Tests for unit roots: A Monte Carlo investigation, Journal of Business & Economic Statistics, 7, 147
Shafiee, 2010, An overview of global gold market and gold price forecasting, Resources Policy, 35, 178, 10.1016/j.resourpol.2010.05.004
Simpson, 2007, The asymmetric response of equity REIT returns to inflation, Journal of Real Estate Finance and Economics, 34, 513, 10.1007/s11146-007-9023-0
Smirlock, 1986, Inflation announcements and financial market reaction: Evidence from the long-term bond market, Review of Economics and Statistics, 68, 329, 10.2307/1925515
Solnik, 1997, A multi-country test of the Fisher model for stock returns, Journal of International Financial Markets, Institutions and Money, 7, 289, 10.1016/S1042-4431(97)00024-3
Spierdijk, 2014, Are commodity futures a good hedge against inflation?, Journal of Investment Strategies, 3, 35, 10.21314/JOIS.2014.048
Spyrou, 2004, Are stocks a good hedge against inflation? Evidence from emerging markets, Applied Economics, 36, 41, 10.1080/0003684042000177189
Stevenson, 1999, The performance and inflation hedging ability of regional housing markets, Journal of Property Investment and Finance, 17, 239, 10.1108/14635789910270503
Stevenson, 1999, An examination of the inflation hedging ability of Irish real estate, Journal of Real Estate Portfolio Management, 5, 59, 10.1080/10835547.1999.12089569
Stock, 1999, Forecasting inflation, Journal of Monetary Economics, 44, 293, 10.1016/S0304-3932(99)00027-6
Stock, 2007, Why has US inflation become harder to forecast?, Journal of Money, Credit and Banking, 39, 3, 10.1111/j.1538-4616.2007.00014.x
Summers, 1983, 201
Sun, 2004, Understanding the Fisher equation, Journal of Applied Econometrics, 19, 869, 10.1002/jae.760
Swinkels, 2012, Emerging market inflation-linked bonds, Financial Analysts Journal, 68, 38, 10.2469/faj.v68.n5.2
Tarbert, 1996, Is commercial property a hedge against inflation? A cointegration approach, Journal of Property Finance, 7, 77, 10.1108/09588689610111638
Taylor, 1993, Discretion versus policy rules in practice, Carnegie-Rochester Conference Series on Public Policy, 39, 195, 10.1016/0167-2231(93)90009-L
Taylor, 1998, Precious metals and inflation, Applied Financial Economics, 8, 201, 10.1080/096031098333186
Tobin, 1965, Money and economic growth, Econometrica, 33, 671, 10.2307/1910352
Tsay, 2005
Tsong, 2013, Quantile cointegration analysis of the Fisher hypothesis, Journal of Macroeconomics, 35, 186, 10.1016/j.jmacro.2012.11.001
Tully, 2007, A power GARCH examination of the gold market, Research in International Business and Finance, 21, 316, 10.1016/j.ribaf.2006.07.001
Urich, 1984, The effects of inflation and money supply announcements on interest rates, Journal of Finance, 39, 1177, 10.1111/j.1540-6261.1984.tb03901.x
Wang, 2011, Time and place where gold acts as an inflation hedge: An application of long-run and short-run threshold model, Economic Modelling, 28, 806, 10.1016/j.econmod.2010.10.008
Wilcox, 2012, Equity valuation and inflation: A review, Research Foundation Literature Reviews, 7, 1
Wilson, 2003, International diversification of real estate assets: Is it worth it? Evidence from the literature, Journal of Real Estate Literature, 11, 257, 10.1080/10835547.2003.12090129
Worthington, 2007, Gold investment as an inflationary hedge: Cointegration evidence with allowance for endogenous structural breaks, Applied Financial Economics Letters, 3, 259, 10.1080/17446540601118301
Yobaccio, 1995, The inflation-hedging properties of risk assets: The case of REITs, Journal of Real Estate Research, 10, 279, 10.1080/10835547.1995.12090792
Yoon, 2010, Does nonlinearity help resolve the Fisher effect puzzle?, Applied Economics Letters, 17, 823, 10.1080/13504850802481772
Zhou, 2010, The inflation hedging ability of real estate in China, Journal of Real Estate Portfolio Management, 16, 267, 10.1080/10835547.2010.12089885
Zhou, 2014
Zivot, 2002, Further evidence on the great crash, the oil-price shock, and the unit-root hypothesis, Journal of Business & Economic Statistics, 20, 25, 10.1198/073500102753410372