Hedging Inflation and Income Risks

Robert Shiller

The Manchester School of Economic & Social Studies, 1995, vol. 63, issue 0, 1-21

Abstract: This paper describes markets for long-term inflation risk and shows the relationship such markets would have to other potential new markets, markets for long-term claims on income aggregates. The paper presents advantages of indexed long-term bonds and advocates as well the establishment of markets for long-term futures in a consumer price index. The potential use for such long-term inflation risk markets is put into perspective here by comparing the long-term risks to the real value of nominal claims to the long-term risks to national products and dividend incomes using data on fifty-four countries for 1950-90. Copyright 1995 by Blackwell Publishers Ltd and The Victoria University of Manchester

Date: 1995
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Working Paper: Hedging inflation and income risks (1994)
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