یک تحلیل مقایسه ای در مورد ویژگیهای مصون سازی از تورم طلا
Abstract
1- Introduction
2- Theoretical framework and methodology
3- Data and preliminary analysis
4- Presentation and discussion of results
5- Conclusion
References
Abstract
This study is a comparative analysis of inflation hedging properties of stocks, gold and real estates for the US. It is hypothesised that the assets have varying market characteristics and thus should respond differently to high inflation. The Fisher's hypothesis for asset-inflation hedging is constructed both within the bivariate and multivariate modelling frameworks. Thereafter, some salient features typical of predictive models such as asymmetry, time-variation and structural breaks are incorporated in the estimation process for completeness. The results show that inflation hedging tendencies of assets are heterogeneous across the considered assets. The real estates and stocks prove to be good hedges against inflation, while gold investment defies Fisher's hypothesis. Also, the results are sensitive to the decomposition of data for pre- and post-GFC periods, indicating that asset-inflation hedging relationship for the US is time-varying. The results are robust to alternative data frequencies.
Introduction
The aim of a rational investor is to maximise returns and reduce risk. However, inflation has been found to impede these objectives (Wang et al., 2011; Arnold and Auer, 2015; Yeap and Lean, 2017). The influence of inflation on financial matters has raised significant concern among academics, investors, and policymakers since 1970.2 For instance, Linter (1975) argues that fewer issues are more important than inflation’s effect on financial institutions, markets, and investment policies. Theoretical arguments show that inflation reduces purchasing power and the standard of living of economic agents in addition to causing a potential reduction in returns on investment assets (Anari and Kolari, 2002; Iacoviello, 2012; Case et al., 2012; Yeap and Lean, 2017; Christou et al., 2018). In an attempt to mitigate the detrimental effects of inflation, a strand of literature has designed ways to hedge against inflation based on the Fisher (1930) theory, which states that the expected nominal interest rate should move in sync with expected inflation. Fama and Schwert (1977) demonstrated that the Fisher thesis can be inferred for all classes of assets where nominal returns of the said asset should move in sync with inflation, indicating that the asset has a full (short-run) hedge against inflation risks (see Arnold and Auer, 2015). Hence, the dynamics of hedging against inflation require that the return on investments should be at least equal to the rate of inflation (see Fang et al., 2008; Obereiner and Kurzrock, 2012; Amonhaemanon et al., 2013; Hoang et al., 2016; Taderera and Akinsomi, 2020). This study seeks to identify and quantify the extent to which returns on selected financial assets could hedge against inflation. By extension, the study provides answers to the inquiry of whether different asset classifications react in the same manner or differently to inflation.