Inflation hedging: an empirical analysis on inflation nonlinearities, infrastructure, and international equities
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
2012
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| Schlagworte: | |
| Online-Zugang: | Volltext https://nbn-resolving.org/urn:nbn:de:bvb:91-diss-20121119-1110584-0-3 Inhaltsverzeichnis |
| Beschreibung: | XVIII, 172 Bl. graph. Darst. |
Internformat
MARC
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Datensatz im Suchindex
| _version_ | 1804150178209333248 |
|---|---|
| adam_text | IMAGE 1
CONTENTS
ABSTRACT I
ACKNOWLEDGMENT 111
CONTENTS I V
LIST O F FIGURES I X
LIST O F TABLES X I
LIST O F ABBREVIATIONS X I V
LIST O F SYMBOLS X V I I
1 INTRODUCTION 1
1.1 MOTIVATION 2
1.2 OBJECTIVE 3
1.3 SCOPE 4
1.4 STRUCTURE 4
2 A PRIMER ON M O N E Y AND INFLATION 6
2.1 MONEY AND ITS VALUE A T A POINT IN TIME 6
IV
HTTP://D-NB.INFO/1035213605
IMAGE 2
CONTENTS
2.1.1 DEFINITION OF MONEY 7
2.1.2 FUNCTIONS OF MONEY 8
2.1.3 TYPES OF MONEY AND ITS SUPPLY 9
2.1.4 T H E VALUE OF MONEY: PURCHASING POWER AND ITS MEASUREMENT 10
2.2 INFLATION AND THE VALUE OF MONEY OVER TIME 12
2.2.1 DEFINITION 14
2.2.2 CAUSES IN THE CLOSED ECONOMY 14
2.2.3 CONSEQUENCES IN THE CLOSED ECONOMY 16
2.2.4 IMPLICATIONS FOR EXCHANGE RATES 18
2.2.5 MEASUREMENT: CONSUMER PRICE INDEX 20
2.3 SUMMARY 21
3 INFLATION HEDGING IN T H E LITERATURE 2 2
3.1 THEORETICAL FOUNDATION 22
3.1.1 DEFINITION OF INFLATION HEDGING 23
3.1.2 CLASSICAL DICHOTOMY AND THE NEUTRALITY OF MONEY 23
3.1.3 T H E FISHER HYPOTHESIS 24
3.2 EMPIRICAL DEFINITION 2 5
3.2.1 SINGLE-ASSET, FRAMEWORKS BASED ON THE FISHER HYPOTHESIS . . 25
3.2.2 SINGLE-ASSET, FRAMEWORKS BEYOND THE FISHER HYPOTHESIS . . . 27
3.2.3 MULTI-ASSET FRAMEWORKS 29
3.3 EMPIRICAL FINDINGS BY ASSET 30
3.3.1 FIXED INCOME 31
3.3.2 EQUITIES 35
3.3.3 INFRASTRUCTURE 38
3.3.4 REAL ESTATE 40
V
IMAGE 3
CONTENTS
3.3.5 GOLD 41
3.3.6 COMMODITIES 43
3.3.7 INTERNATIONA] DIVERSIFICATION 4 5
3.4 SYNOPSIS 47
4 H Y P O T H E S E S 5 0
4.1 INFLATION HEDGING EXHIBITS NONLINEARITIES 50
4.2 INFRASTRUCTURE AS SUPERIOR INFLATION HEDGE TO EQUITIES 51
4.3 INTERNATIONAL EQUITIES AS SUPERIOR INFLATION HEDGE TO DOMESTIC
EQUITIES 51
5 D A T A 5 3
5.1 COUNTRY AND TIME COVERAGE 53
5.2 ECONOMIC TIME SERIES 54
5.2.1 INFLATION 56
5.2.2 ECONOMIC GROWTH 60
5.2.3 FINANCIAL OPENNESS 63
5.3 ASSET RETURNS 67
5.3.1 BILLS 68
5.3.2 BONDS 71
5.3.3 EQUITIES 72
5.3.4 INFRASTRUCTURE 75
5.3.5 EXCHANGE RATES 80
5.3.6 GOLD 85
5.3.7 COMMODITIES 87
5.3.8 INTERNATIONAL EQUITIES 89
5.3.9 INTERNATIONAL BILLS AND BONDS 92
VI
IMAGE 4
CONTENTS
5.4 SYNOPSIS 96
6 INFLATION HEDGING AND T H E LINEARITY ASSUMPTION . 100
6.1 MOTIVATION 101
6.2 METHODOLOGY 101
6.3 EMPIRICAL RESULTS 104
6.4 DISCUSSION 117
6.4.1 IMPLICATIONS 117
6.4.2 CONTRIBUTIONS TO THE LITERATURE 117
6.4.3 LIMITATIONS AND DIRECTIONS FOR FUTURE RESEARCH 118
6.5 SUMMARY 119
7 INFLATION HEDGING WITH INFRASTRUCTURE 120
7.1 MOTIVATION 121
7.2 METHODOLOGY 121
7.3 EMPIRICAL RESULTS 123
7.3.1 DOMESTIC INFRASTRUCTURE 123
7.3.2 INTERNATIONAL INFRASTRUCTURE 128
7.4 DISCUSSION 135
7.4.1 IMPLICATIONS 135
7.4.2 CONTRIBUTIONS TO THE LITERATURE 136
7.4.3 LIMITATIONS AND DIRECTIONS FOR FUTURE RESEARCH 137
7.5 SUMMARY 137
8 INFLATION HEDGING W I T H INTERNATIONAL EQUITIES 139
8.1 MOTIVATION 140
8.2 METHODOLOGY 140
VII
IMAGE 5
CONTENTS
8.3 EMPIRICAL RESULTS 143
8.3.1 BROAD INTERNATIONAL EQUITY INDICES 144
8.3.2 QUINTILE PORTFOLIOS BASED ON COMOVEMENT 149
8.4 DISCUSSION 155
8.4.1 IMPLICATIONS 155
8.4.2 CONTRIBUTIONS TO THE LITERATURE 156
8.4.3 LIMITATIONS AND DIRECTIONS FOR FUTURE RESEARCH 157
8.5 SUMMARY 157
9 CONCLUSION 159
9.1 IMPLICATIONS FOR THE INVESTOR 159
9.2 CONTRIBUTION TO THE LITERATURE 160
9.3 DIRECTIONS FOR FUTURE RESEARCH 161
BIBLIOGRAPHY 163
VIII
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| spelling | Rödel, Maximilian Georg Verfasser (DE-588)1035213478 aut Inflation hedging an empirical analysis on inflation nonlinearities, infrastructure, and international equities Maximilian Georg Rödel 2012 XVIII, 172 Bl. graph. Darst. txt rdacontent n rdamedia nc rdacarrier München, Techn. Univ., Diss., 2012 (DE-588)4113937-9 Hochschulschrift gnd-content Erscheint auch als Online-Ausgabe urn:nbn:de:bvb:91-diss-20121119-1110584-0-3 http://mediatum.ub.tum.de/node?id=1110584 Verlag kostenfrei Volltext https://nbn-resolving.org/urn:nbn:de:bvb:91-diss-20121119-1110584-0-3 Resolving-System DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025874454&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Rödel, Maximilian Georg Inflation hedging an empirical analysis on inflation nonlinearities, infrastructure, and international equities |
| subject_GND | (DE-588)4113937-9 |
| title | Inflation hedging an empirical analysis on inflation nonlinearities, infrastructure, and international equities |
| title_auth | Inflation hedging an empirical analysis on inflation nonlinearities, infrastructure, and international equities |
| title_exact_search | Inflation hedging an empirical analysis on inflation nonlinearities, infrastructure, and international equities |
| title_full | Inflation hedging an empirical analysis on inflation nonlinearities, infrastructure, and international equities Maximilian Georg Rödel |
| title_fullStr | Inflation hedging an empirical analysis on inflation nonlinearities, infrastructure, and international equities Maximilian Georg Rödel |
| title_full_unstemmed | Inflation hedging an empirical analysis on inflation nonlinearities, infrastructure, and international equities Maximilian Georg Rödel |
| title_short | Inflation hedging |
| title_sort | inflation hedging an empirical analysis on inflation nonlinearities infrastructure and international equities |
| title_sub | an empirical analysis on inflation nonlinearities, infrastructure, and international equities |
| topic_facet | Hochschulschrift |
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