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Stocks, Bonds, T-Bills and Inflation Hedging

Laura Spierdijk 

University of Groningen

Zaghum Umar 

University of Groningen
November 2, 2011

Netspar Discussion Paper No. 11/2011-089 
Abstract:      
This paper analyzes the inflation hedging capacity of stocks, bonds and T-bills.We employ four different methods of measuring the inflation hedging capacity. We utilize total return indices for the aggregate and various niche market segments of these assets. The overall sample period for this study is 1982 - 2010.We analyze the hedging potential for investment horizons ranging from 1 month up to 10 years. We document positive inflation hedging characteristics of various stock and T-bill total return indices for both short and long term investment horizons. We do not find any evidence of positive hedging capacity of bonds.