建構平衡通膨率模型與流動性風險指標的交易策略：以美國一般公債與抗通膨公債為例

Abstract

本研究使用平衡通膨率模型及流動性風險指標建構交易策略，並藉由交易美國一般公債及抗通膨公債幫助投資人賺取平衡通膨率利差。模型不只將貨幣政策因素、工業成長因素及消費市場因素加以考慮，同時根據市場流動性變化迅速對策略進行修正。最終結果顯示本研究所制定的策略邏輯能夠賺取高額報酬，且模型具高度預測及修正能力，能夠幫助投資人於大型事件宣告及黑天鵝事件發生時持續於市場中獲利。

This article derives the method of constructing a trading strategy on Breakeven Fair Value Model and Liquidity Risk Indicator which helps investors earn the breakeven spreads by trading both U.S. Treasury Bonds and Treasury Inflation Protected Securities (TIPS) simultaneously. The model not only takes monetary policy, industrial growth and retail markets into account but also adjusted the strategy rapidly regarding to liquidity condition. The result shows that the logic behind the strategy can help earn a great amount of returns, and the model also possesses phenomenal predictive and adjusting ability that makes investors keep earning profits when extremely essential announcements or Black Swan events breakout.