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

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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 , Masters　　Advisor：洪茂蔚　　

繁體中文

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

Abstract │ Reference (31) │ Altmetrics

Abstract 〈TOP〉

Parallel Abstract 〈TOP〉

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.

Reference ( 31 ) 〈TOP〉

1.吳建緯(2009)，「次級房貸對於各信用市場與股市及匯市間之關聯性的影響」，臺灣大學國際企業學研究所碩士論文
連結：
2.周盈吟(2011)，「財務金融研究」，臺灣大學國際企業學研究所博士論文
連結：
6.趙孟麗(2006)，「美國抗通膨公債 (TIPS) 交易策略之實證研究」，中央大學財務金融研究所碩士論文
連結：
1.Brennan, M. J. and Xia, Y. H. (2002). Dynamic Asset Allocation under Inflation. Journal of Finance 57, 1201-1238.
連結：
2.Campbell, J. Y. and Viceira, L. M. (2001).Who Should Buy Long Term Bonds? American Economics Review 91, 99-127.
連結：

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