Inflation risk and the inflation risk premium
研究了超过45个国家的债券和股票指数对通胀的对冲能力，发现传统证券对冲效果差；通过引入国库券、外国债券、房地产和黄金，情况有所改善，但通胀风险仍难对冲。随后，文章综述了通胀风险溢价的研究，发现其规模可观且随时间变化，表明政府发行通胀挂钩债券可降低融资成本。
This article starts by discussing the concept of ‘inflation hedging’ and provides estimates of ‘inflation betas’ for standard bond and well-diversified equity indices for over 45 countries. We show that such standard securities are poor inflation hedges. Expanding the menu of assets to Treasury bills, foreign bonds, real estate and gold improves matters but inflation risk remains difficult to hedge. We then describe how state-of-the-art term structure research has tried to uncover estimates of the inflation risk premium, the compensation for bearing inflation risk. Most studies, including very recent ones that actually use inflation-linked bonds and information in surveys to gauge inflation expectations, find the inflation risk premium to be sizeable and to substantially vary through time. This implies that governments should normally lower their financing costs through the issuance of index-linked bonds, at least in an ex ante sense. Our findings thus indicate a potentially important role for inflation index linked bonds. We briefly discuss the pros and cons of such bonds, focusing the discussion mostly on the situation in the United States, which started to issue Treasury Inflation Protected Securities (TIPS) in 1997. We argue that it is hard to negate the benefits of such securities for all relevant parties, unless the market in which they trade is highly deficient, which was actually the case in its early years in the United States.—Geert Bekaert and Xiaozheng Wang