Alternative inflation hedging strategies in ALM.

Summary The gradual disappearance of inflation fears during the era of the macroeconomic "Great Moderation" is now a thing of the past: the US financial crisis of the "Subprimes", the "Great Recession" as well as the subsequent sovereign debt crisis have led to a new economic order characterized by increased inflation volatility, increased commodity price shocks and mistrust of the creditworthiness of some sovereign issuers, to mention only three characteristics. From the reduction of inflation-indexed sovereign debt issuance to negative real rates and very long maturities, this new situation tends to jeopardize both conventional inflation-hedging strategies and purely nominal directional strategies. This thesis aims to investigate the effects of these events that have changed the macro-financial landscape and to evaluate their consequences in terms of inflation hedging, both in the asset-liability management of institutional investors and in the savings of individuals. Three alternative hedging strategies are proposed to deal with them.