Asset returns and inflation : assets as hedges against inflation : Australian evidence

Wu, Yu-Ru Stephanie. (1997). Asset returns and inflation : assets as hedges against inflation : Australian evidence Master's Thesis, University of Queensland. School of Business, The University of Queensland.

       
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Author Wu, Yu-Ru Stephanie.
Thesis Title Asset returns and inflation : assets as hedges against inflation : Australian evidence
School, Centre or Institute University of Queensland. School of Business
Institution The University of Queensland
Publication date 1997
Thesis type Master's Thesis
Total pages 80
Language eng
Subjects 1402 Applied Economics
Formatted abstract This research report examines various Australian financial assets as hedges against both expected and unexpected inflation for the period March 1961 to June 1996. To investigate the consistency of relationships between various financial asset returns and both expected and unexpected inflation, six subperiods are examined. Regression results indicate that the inflation hedging abilities of various financial assets are unstable over different periods of time. Generally, common stock returns are poor hedges showing insignificant relationships with both expected and unexpected inflation. Interest rates, in general, become better inflation hedges after the deregulation of control of interest rates, and it is evident that short-term interest rates contain better inflation hedging abilities than long-term interest rates. Labour income is at least a partial hedge against expected inflation. Real estate is the best inflation hedge among those financial assets examined, and it is suggested to be the best financial instrument for investors to preserve its real value against inflation.

 
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