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標題: | 聯準會QE政策對抗通膨債券與公債價格之影響 The Impact of Fed QE Policy on the TIPS and Treasury Bond Price |
作者: | Chun-Ling Wu 武君玲 |
指導教授: | 李賢源 |
關鍵字: | 抗通膨債券,公債,套利,通貨膨脹交換,分割債券,量化寬鬆, TIPS,Treasury Bond,Arbitrage,Inflation Swap,STRIPS,Quantitative Easing, |
出版年 : | 2014 |
學位: | 碩士 |
摘要: | 本研究顯示以抗通膨債券、通貨膨脹交換及分割債券可以完全複製公債現金流,但是此投資組合價格往往低於市場的公債交易價格。根據實證研究,可以發現此錯價關係從2004年持續至今,且至今整個市場合計錯價甚至超過100億美金,接近抗通膨債券總發行額度的1.4%。本研究證明通貨膨脹交換曲線及利率期間結構變化對錯價無影響,亦找到抗通膨債券年期越長錯價越高的直接證據,並發現QE1時錯價隨時間下降,且在QE1及QE2期間10年期公債殖利率與錯價呈現顯著負相關。 In this thesis, we show that a portfolio of Treasury Inflation-Protected Securities (TIPS), Inflation Swaps, and STRIPS (Separate Trading of Registered Interest and Principal of Securities) can replicate the cash flows of Treasury bond. However, the price of Treasury bond is usually more expensive than the TIPS’ portfolio. According to the empirical study, the mispricing starts from 2004 till now. The total TIPS-Treasury mispricing exceeds US$10 billion, accounting for nearly 1.4% of the total amount of TIPS outstanding. We prove the change of inflation swap curve and term structure won’t impact the mispricing. Direct evidence that the longer the TIPS’ term the higher the mispricing is found. We also find the mispricing declines in QE1 and 10 year Treasury Bond YTM is negative related to the mispricing during QE1 and QE2. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/18019 |
全文授權: | 未授權 |
顯示於系所單位: | 財務金融學系 |
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ntu-103-1.pdf 目前未授權公開取用 | 3.55 MB | Adobe PDF |
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