A comparative analysis of the inflation hedging properties of gold, stocks, corporate bonds, and foreign currency in the Philippines from years 2011-2019

Inflation has a detrimental effect on developing countries due to its ability to obstruct economic growth. With this, the presence of inflation in financial markets has been a significant concern for stakeholders. In attempts to shield investors from inflation risk, literature regarding inflation he...

全面介紹

Saved in:
書目詳細資料
Main Authors: de Jesus, Ma. Danielle Kyle L., Gargarita, Eduardo Wolfgang U., Isubol, Dessa Fay A., Javaluyas, Eira Jasmine H.
格式: text
語言:English
出版: Animo Repository 2021
主題:
在線閱讀:https://animorepository.dlsu.edu.ph/etdb_finman/5
https://animorepository.dlsu.edu.ph/context/etdb_finman/article/1008/viewcontent/DeJesus2.pdf
標簽: 添加標簽
沒有標簽, 成為第一個標記此記錄!
機構: De La Salle University
語言: English
實物特徵
總結:Inflation has a detrimental effect on developing countries due to its ability to obstruct economic growth. With this, the presence of inflation in financial markets has been a significant concern for stakeholders. In attempts to shield investors from inflation risk, literature regarding inflation hedging has been designed based on the Fisher (1930) theory. This study seeks to answer whether there is a significant relationship between inflation and financial assets, specifically gold, stocks, corporate bonds, and foreign currencies in the Philippines from 2011 to 2019. The proponents of this study primarily followed the method of Ndako and Salisu (2020). To decide empirically whether such a relationship exists, the following methods were implemented: Ljung Box Test, Autoregressive Conditional Heteroskedasticity (ARCH), Augmented Dickey-Fuller (ADF), Narayan and Liu (2015), Generalized Autoregressive Conditional Heteroscedasticity (GARCH) based tests, Bai and Perron (2003), and Autoregressive Distributed Lag (ARDL). The results reveal that the inflation hedging abilities of considered assets are heterogeneous. The Bond YTM proves to be a superior hedge against inflation, whereas the rest of the variables show no hedging ability against inflation.