| Summary: | 碩士 === 國立臺灣大學 === 國際企業學研究所 === 101 === Recently, the price of petroleum has been increasingly rising. The high price of energy and inflation leads to that all the investments pursue inflation-protected financial products. In addition to gold, raw materials and real estate, which have close relationship with price index, what financial commodities also have the same characteristics as them?
TIPS(Treasury Inflation-Protection Securities) not only has the feature of stable return, but also prevents investment income from market participants from being eroded by inflation. This paper investigates the correlation between TIPS bonds yield and inflation rate and the correlation between TIPS bonds yield and T-bill yield.
We choose TIPS bonds yield, T-bill yield and U.S. inflation rate as variables. We adopt the ADF unit root test to exam if these variables were stationary. By Johansen co-integration analysis, we could exam if the co-integration exists. The VECM and Granger causality test are applied to study the relationship between TIPS bonds yield and inflation rate and the relationship between TIPS bonds yield and T-bill yield.
Johansen co-integration test shows that there is a long-term co-integration relationship between all the TIPS bonds yield and inflation. Johansen co-integration test also shows that there is a long-term co-integration relationship between all the TIPS bonds yield and T-bill yield.
The results from using the Granger causality test and VECM found out that all the TIPS bonds yield and inflation have no significant causality;5 years and 7 years TIPS bonds yield lead inflation rate; 10 years TIPS bonds yield and 10 years T-bill yield have the two-way feedback between them; 20 years TIPS bonds yield and 20 years T-bill yield have the two-way feedback between them.
|
|---|
