Did TIPS predict rising inflation in the first semester of 2022?

Detalhes bibliográficos
Autor(a) principal: Pires, Filipa de Jesus Gomes
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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spelling 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
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv 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
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection 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
repository.mail.fl_str_mv
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