Colucci, Matteo (A.A. 2022/2023) Exploring the inflation impact across asset classes: an econometric VAR model analysis. Tesi di Laurea in Asset pricing, Luiss Guido Carli, relatore Nicola Borri, pp. 86. [Master's Degree Thesis]

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Abstract/Index

Inflation correlation within asset classes. Inflation causes. Inflation results. Model assumptions. Data. Methodology. Inflation impact on asset classes. Analysis of stock-treasury correlation during inflation. Asset performance in inflationary periods. Split inflation in good and bad. Insight into events on SVB and credit swisse. Pricing and analysis of inflation-linked structured product. Inflation cap and floor. Inflation-linked swap. Treasury inflation-protected securities (TIPS)-treasury arbitrage.

References

Bibliografia: pp. 69-73.

Thesis Type:	Master's Degree Thesis
Institution:	Luiss Guido Carli
Degree Program:	Master's Degree Programs > Master's Degree Program in Economics and Finance (LM-56)
Chair:	Asset pricing
Thesis Supervisor:	Borri, Nicola
Thesis Co-Supervisor:	Carlini, Federico Carlo Eugenio
Academic Year:	2022/2023
Session:	Summer
Deposited by:	Alessandro Perfetti
Date Deposited:	22 Jan 2024 14:41
Last Modified:	22 Jan 2024 14:41
URI:	https://tesi.luiss.it/id/eprint/37624

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