A Study of Perfect Hedges

Ivanov, Stoyu I.

doi:10.3390/ijfs5040028

Cited by 3 publications

(3 citation statements)

References 13 publications

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“…This stance is similar to the findings of Salisu at el. [14] for gold, Ivanov [79] for stock, and Zaremba et al [40] for oil. (4) All assets can be used to hedge against inflation in the United States for some periods of time as the responses of the assets against inflation swing between negative and positive before reaching the long-run equilibrium.…”

Section: Ukrainementioning

confidence: 99%

Do Bitcoin and Traditional Financial Assets Act as an Inflation Hedge during Stable and Turbulent Markets? Evidence from High Cryptocurrency Adoption Countries

Phochanachan

Pirabun

Leurcharusmee

et al. 2022

Axioms

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This study analyzes whether Bitcoin, gold, oil, and stock have the ability to hedge against inflation in high cryptocurrency adoption countries in the periods from January 2010 to March 2021. It is hypothesized that the assets behave differently and thereby respond differently to inflation in different market conditions. Therefore, we employ the Markov Switching Vector Autoregressive to examine these assets’ hedging ability against inflation in both stable and turbulent market regimes. Our main findings are threefold: We show that there exists a structural change and nonlinear relationship between the returns of hedging assets and inflation. Second, all assets can hedge against inflation more effectively in the short run than in the long run. We find that the inflation hedging ability of these assets are weak in the long run for both market regimes. We also find some evidence that the rigidity between the assets and inflation is relatively high in the stable regime. Third, according to the impulse response analysis, we also find that the responses of assets to inflation shock are heterogeneous across two market regimes.

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Section: Ukrainementioning

confidence: 99%

Do Bitcoin and Traditional Financial Assets Act as an Inflation Hedge during Stable and Turbulent Markets? Evidence from High Cryptocurrency Adoption Countries

Phochanachan

Pirabun

Leurcharusmee

et al. 2022

Axioms

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“…"A complete hedge against inflation is defined as an asset where the nominal returns vary in a positive one-for-one way with inflation" (Tarbert, 1996). Gold was examined as an inflation hedge (Chua et al, 1982;Dempster et al, 2010;Ghosh et al, 2004;Wang et al, 2011;Beckmann et al, 2013;Mensi et al, 2016), commercial property (Tarbert, 1996), common stocks (Alchian et al, 1959;Oudet, 1973;Bodie, 1976), real estate securities (Liu et al, 1997), oil (Ivanov, 2017) and other commodities (Zaremba et al, 2019).…”

Section: Literature Reviewmentioning

confidence: 99%

“…Herein an interplay between financial and business cycles is important, and the ability to mitigate risk by hedging against inflation (Wang et al, 2020). Different commodities and stocks can save value and serve as an inflation hedge (Bampinas et al, 2016;Ivanov, 2017).…”

Section: Introductionmentioning

confidence: 99%

Capital Market Returns and Inflation Nexus in Croatia: Wavelet Coherence Analysis

Bošnjak

Novák

Bašić

2021

Business Systems Research Journal

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Background: Hedging against inflation assumes instruments such as gold, stocks, fixed income securities, and real estate. There still exists a lack of appropriate strategy to hedge against inflation. Objectives: This paper examines the possibilities for hedging against inflation in Croatia offered by the Zagreb Stock Exchange indices. Methods/Approach: Based on monthly data from January 2000 to September 2019 and using a wavelet coherence approach, this paper brings the results across time and frequency domains. Results: Empirical results suggest that inflation was a leading variable in a statistically significant positive correlation between the inflation rate and Crobex returns in 2007-2011. The relationship between Crobex10, Crobis, and Crobistr returns on one side, and the inflation rate on the other side has statistically significant correlations only in specific and different periods, in which respective returns are a leading variable. Conclusions: The results imply that hedging against inflation is rather problematic under current Croatian capital markets conditions. Zagreb Stock Exchange indices could serve as a hedge against inflation for some periods but not during the whole observation period.

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Is there an effect of policy-related uncertainty on inflation? evidence from the United States under Trump

Selmi¹,

Bouoiyour

Wohar

et al. 2020

Applied Economics

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A Study of Perfect Hedges

Cited by 3 publications

References 13 publications

Do Bitcoin and Traditional Financial Assets Act as an Inflation Hedge during Stable and Turbulent Markets? Evidence from High Cryptocurrency Adoption Countries

Do Bitcoin and Traditional Financial Assets Act as an Inflation Hedge during Stable and Turbulent Markets? Evidence from High Cryptocurrency Adoption Countries

Capital Market Returns and Inflation Nexus in Croatia: Wavelet Coherence Analysis

Is there an effect of policy-related uncertainty on inflation? evidence from the United States under Trump

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