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- W4386476768 startingPage "jpm.2023.1.536" @default.
- W4386476768 abstract "Most of the literature exploring the relationship between inflation and asset prices focuses on inflation hedging from the perspective of a static, buy-and-hold investor. Few studies consider potential strategies for dynamically hedging inflation risk. In this article, the authors use high-frequency inflation indexes derived from the websites of multichannel retailers around the world. The authors first show that these series contain information about future official government inflation releases and find that online inflation predicts changes in the breakeven inflation spread between nominal and inflation-linked Treasury bond yields in the United States. The authors then test an investment strategy to allocate dynamically between Treasury Inflation-Protected Securities and nominal Treasury bonds with the goal of earning a higher yield during periods of low inflation and benefiting from inflation protection during periods of high inflation." @default.
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- W4386476768 date "2023-09-06" @default.
- W4386476768 modified "2023-09-27" @default.
- W4386476768 title "Inflation Hedging: A Dynamic Approach Using Online Prices" @default.
- W4386476768 doi "https://doi.org/10.3905/jpm.2023.1.536" @default.
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