Did TIPS predict rising inflation in the first semester of 2022?
Autor(a) principal: | |
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Data de Publicação: | 2024 |
Tipo de documento: | Dissertação |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10362/164637 |
Resumo: | Dissertation presented as the partial requirement for obtaining a Master's degree in Statistics and Information Management, specialization in Risk Analysis and Management |
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Did TIPS predict rising inflation in the first semester of 2022?TIPSBreakeven Inflation RateInflationLiquidity PremiumLinear RegressionSDG 8 - Decent work and economic growthDomínio/Área Científica::Ciências Naturais::Ciências da Computação e da InformaçãoDissertation presented as the partial requirement for obtaining a Master's degree in Statistics and Information Management, specialization in Risk Analysis and ManagementThe main goal of this study is to investigate whether Treasury inflation-protected securities (TIPS) predicted the observed inflation increase in the first half of 2022. As the breakeven inflation rate is the sum of inflation expectations plus the inflation risk premium minus a liquidity premium that investors demand to hold comparatively less liquid TIPS securities, the calculation of the liquidity premium for TIPS becomes imperative to assess whether they foresaw the inflation increase. To compute the TIPS liquidity premium, three proxies of liquidity measures are considered: the TIPS Bid-Ask Spread, the Refcorp Spread and the TIPS Relative Trading Volume. With the aim to identify which liquidity measures best explain the movement of the breakeven inflation, a series of simple and multiple linear regressions are made. The combination of TIPS Relative Trading Volume and the Refcorp Spread stands out as the most effective liquidity measures in estimating fluctuations in the breakeven inflation rate.Bravo, Jorge Miguel VenturaNunes, João Pedro VidalRUNPires, Filipa de Jesus Gomes2024-03-08T11:24:50Z2024-01-312024-01-31T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/164637TID:203543688enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T05:53:38Zoai:run.unl.pt:10362/164637Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T04:00:18.005461Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
Did TIPS predict rising inflation in the first semester of 2022? |
title |
Did TIPS predict rising inflation in the first semester of 2022? |
spellingShingle |
Did TIPS predict rising inflation in the first semester of 2022? Pires, Filipa de Jesus Gomes TIPS Breakeven Inflation Rate Inflation Liquidity Premium Linear Regression SDG 8 - Decent work and economic growth Domínio/Área Científica::Ciências Naturais::Ciências da Computação e da Informação |
title_short |
Did TIPS predict rising inflation in the first semester of 2022? |
title_full |
Did TIPS predict rising inflation in the first semester of 2022? |
title_fullStr |
Did TIPS predict rising inflation in the first semester of 2022? |
title_full_unstemmed |
Did TIPS predict rising inflation in the first semester of 2022? |
title_sort |
Did TIPS predict rising inflation in the first semester of 2022? |
author |
Pires, Filipa de Jesus Gomes |
author_facet |
Pires, Filipa de Jesus Gomes |
author_role |
author |
dc.contributor.none.fl_str_mv |
Bravo, Jorge Miguel Ventura Nunes, João Pedro Vidal RUN |
dc.contributor.author.fl_str_mv |
Pires, Filipa de Jesus Gomes |
dc.subject.por.fl_str_mv |
TIPS Breakeven Inflation Rate Inflation Liquidity Premium Linear Regression SDG 8 - Decent work and economic growth Domínio/Área Científica::Ciências Naturais::Ciências da Computação e da Informação |
topic |
TIPS Breakeven Inflation Rate Inflation Liquidity Premium Linear Regression SDG 8 - Decent work and economic growth Domínio/Área Científica::Ciências Naturais::Ciências da Computação e da Informação |
description |
Dissertation presented as the partial requirement for obtaining a Master's degree in Statistics and Information Management, specialization in Risk Analysis and Management |
publishDate |
2024 |
dc.date.none.fl_str_mv |
2024-03-08T11:24:50Z 2024-01-31 2024-01-31T00:00:00Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10362/164637 TID:203543688 |
url |
http://hdl.handle.net/10362/164637 |
identifier_str_mv |
TID:203543688 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
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info:eu-repo/semantics/openAccess |
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openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
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Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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RCAAP |
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RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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