美國抗通膨債券殖利率與通貨膨脹率及美國公債殖利率之關聯性

The Relationship between U.S.TIPS Bonds Yield, Inflation and T-bill Yield

徐鎮彥(Chen-Yen Hsu)

指導教授 ： 洪茂蔚

國立臺灣大學/管理學院/國際企業學研究所/碩士(2013年)

https://doi.org/10.6342/NTU.2013.10075

摘要

近年油價高漲，能源價格攀高，通膨蠢蠢欲動，投資人紛紛尋找抵禦物價上揚的金融商品，在黃金、原物料及房地產投資之外究竟何種金融商品同樣具有此種對抗通膨的特性？

美國抗通膨債券不僅可以保有債券穩定收益的特性，還可以讓市場參與者的投資收益免於受到通膨的侵蝕。本文欲探討美國抗通膨債券殖利率與美國通貨膨脹率關聯性以及美國抗通膨債券殖利率與美國公債殖利率關聯性。

本研究選取美國抗通膨債券殖利率與美國公債殖利率，以及美國通貨膨脹率為研究對象，先對各變數作ADF單根檢定，確定皆為同階定態之後再作Johansen共整合檢定，檢查非定態時間序列是否存在共整合關係；再根據向量誤差修正模型(VECM)及Granger因果檢定探討變數間的長期、短期因果關係。

根據共整合檢定結果，各到期期限美國抗通膨殖利率和美國通貨膨脹率，具有長期均衡關係，且具相同到期期限美國抗通膨債券殖利率和美國公債殖利率也具有長期均衡關係。從Granger因果檢定及向量誤差修正模型結果可以發現各到期期限美國抗通膨債券殖利率對通貨膨脹率皆無因果關係；5年期及7年期美國抗通膨債券殖利率對相同到期期限之美國公債殖利率有單向領先關係；10年期及20年期美國抗通膨債券殖利率對相同到期期限之美國公債殖利率有雙向回饋關係。

關鍵字

抗通膨債券 ； 美國公債 ； 通貨膨脹率 ； 單根檢定 ； 共整合檢定 ； 因果關係檢定 ； 誤差修正模型

並列摘要

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.

並列關鍵字

TIPS ； T-bill ； Inflation Rate ； Unit-root Test ； Johansen Co-integration ； Granger Causality Test ； VECM

參考文獻

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