By Brendan Brown (auth.)
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Extra resources for A Theory of Hedge Investment
If gold were the only war-hedge, then the price of income contingent on war would move simply in proportion to the Hedges: Concept and Pricing 37 probability of its occurrence. The forward price of gold for delivery at would, in contrast to the price of income contingent on war at t;, move to reflect expectations of the supply of newly mined gold responding to changes in its price. Equivalently, the increase in the price, Sxot;, of war-contingent income has its counterpart not only in an immediate rise in the price of gold (the asset producing warcontingent income) but also in the expectation of a subsequent negative income, during periods when state-variable x does not take value xo (war) and the gold price reacts downwards to increased supplies: S xot;, however (in contrast to our petro-money example), may not react downwards and the expected returns on gold (unlike those on a petro-money) may not tend to rise as supply increases.
Wolfe, The French Franc between the Wars 1919-1939 (Columbia Press, 1951). 19. This definition is found in P. Cagan, 'The monetary dynamics of hyperinflation', in M. ) Studies in the Quantity Theory of Money (University of Chicago, 1973). 20. Bresciani-Turroni, op. , p. 379. 21. , pp. 377-9. 22. In the market for contingent-income claims it is, of course, certain income for each general state of the world that is exchanged. 23. J. 103-7. 24. Expressed in the terminology of monetary theory, investors hold outside wealth in nominal form, which is subject to inflation risk.
21. , pp. 377-9. 22. In the market for contingent-income claims it is, of course, certain income for each general state of the world that is exchanged. 23. J. 103-7. 24. Expressed in the terminology of monetary theory, investors hold outside wealth in nominal form, which is subject to inflation risk. 25. Even for a period of fairly low inflation in the USA, in the 1960s, Fama shows how the nominal yield on 1-month Treasury Bills explained only 30 per cent of the variance of the monthly inflation rate.