Practical Applications of Inflation Hedging in the Long Run: Perspectives from Seven Centuries of Commodity Prices

IF 0.4 Q4 BUSINESS, FINANCE
Adam Zaremba, J. Jan, Zaghum Umar, Mateusz Mikutowski
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引用次数: 3

Abstract

In Inflation Hedging in the Long Run: Perspectives from Seven Centuries of Commodity Prices, published in the Summer 2021 issue of The Journal of Alternative Investments, Adam Zaremba of Montpellier Business School, Jan J. Szczygielski of Kozminski University, Zaghum Umar of Zayed University and Mateusz Mikutowski of Pozna´n University of Economics and Business investigate the efficacy of using commodities to hedge inflation risk. They analyze the relationship between inflation and various commodity price indexes across varying lengths of time and regions. The evaluation includes rolling correlations to see if relationships change over time. Results illustrate that commodities can be very effective hedging tools. However, some commodities do a better job than others. The optimal choice depends on what regions’ or countries’ inflation risk one seeks to mitigate, and the optimal choice can change as conditions change in the future. For example, in many countries, agricultural commodities used to be among the best hedging instruments but have since been displaced by energy commodities.
通货膨胀套期保值在长期中的实际应用——从商品价格的七个世纪看
在《另类投资杂志》2021年夏季刊上发表的《长期通胀对冲:从商品价格的七个世纪看》一篇文章中,蒙彼利埃商学院的Adam Zaremba、科兹明斯基大学的Jan J. Szczygielski、扎耶德大学的Zaghum Umar和波兹纳恩经济与商业大学的Mateusz Mikutowski研究了利用商品对冲通胀风险的有效性。他们分析了不同时间和地区的通货膨胀和各种商品价格指数之间的关系。评估包括滚动相关性,以查看关系是否随时间变化。结果表明,商品可以是非常有效的对冲工具。然而,一些商品比其他商品表现得更好。最优选择取决于人们寻求减轻哪些地区或国家的通胀风险,而最优选择可能随着未来条件的变化而变化。例如,在许多国家,农产品曾经是最好的对冲工具之一,但后来被能源商品所取代。
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来源期刊
CiteScore
1.50
自引率
14.30%
发文量
40
期刊介绍: The Journal of Alternative Investments (JAI) provides you with cutting-edge research and expert analysis on managing investments in hedge funds, private equity, distressed debt, commodities and futures, energy, funds of funds, and other nontraditional assets. JAI is the official publication of the Chartered Alternative Investment Analyst Association (CAIA®). JAI provides you with challenging ideas and practical tools to: •Profit from the growth of hedge funds and alternatives •Determine the optimal mix of traditional and alternative investments •Measure and track portfolio performance •Manage your alternative investment portfolio with proven risk management practices
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