請用此 Handle URI 來引用此文件：
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/59479完整後設資料紀錄
| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 李賢源(Shyan-Yuan Lee) | |
| dc.contributor.author | Cheng-Yeh Lee | en |
| dc.contributor.author | 李承曄 | zh_TW |
| dc.date.accessioned | 2021-06-16T09:25:04Z | - |
| dc.date.available | 2022-07-20 | |
| dc.date.copyright | 2017-07-20 | |
| dc.date.issued | 2017 | |
| dc.date.submitted | 2017-06-15 | |
| dc.identifier.citation | 1. Ang, A., Bekaert, G., & Wei, M. (2008). The term structure of real rates and expected inflation. The Journal of Finance, 63(2), 797-849.
2. Barclays Bank Plc. (2016). Global Inflation-Linked Products: A User’s Guide. Inflation-Linked Research, 1-317. 3. Barclays Bank Plc. (2017). Happy 20th!. Inflation-Linked Research, 1-4. 4. Buraschi, A., & Jiltsov, A. (2005). Inflation risk premia and the expectations hypothesis. Journal of Financial Economics, 75(2), 429-490. 5. Campbell, J., & Viceira, L. (2009). Understanding inflation-indexed bond markets (No. orrc09-20). National Bureau of Economic Research. 6. Christensen, J. H., & Gillan, J. M. (2012). Could the us treasury benefit from issuing more tips?. San Francisco, US: Federal Reserve Bank of San Francisco Working Paper, (2011-16). 7. Christensen, J. H., & Gillan, J. M. (2011). TIPS liquidity, breakeven inflation, and inflation expectations. FRBSF Economic Letter, 19, 1-5. 8. Christensen, J. H., Lopez, J. A., & Rudebusch, G. D. (2010). Inflation Expectations and Risk Premiums in an Arbitrage‐Free Model of Nominal and Real Bond Yields. Journal of Money, Credit and Banking, 42(s1), 143-178. 9. Coroneo, L. (2016). TIPS Liquidity Premium and Quantitative Easing. Working Paper, University of York. 10. D'Amico, S., Kim, D. H., & Wei, M. (2010). Tips from TIPS: the informational content of Treasury Inflation-Protected Security prices. Finance and Economics Discussion Series 2010-19, Federal Reserve Board. 11. Dudley, W., Roush, J. E., & Steinberg, M. (2009). The case for TIPS: an examination of the costs and benefits. Federal Reserve Bank of New York Economic Policy Review 15, 1-17. 12. Fleckenstein, M. (2012). The inflation-indexed bond puzzle. Working Paper, UCLA. 13. Fleckenstein, M., Longstaff, F. A., & Lustig, H. (2014). The TIPS‐Treasury Bond Puzzle. The Journal of Finance, 69(5), 2151-2197. 14. Fleming, M. J., & Krishnan, N. (2011). The microstructure of the TIPS market. Working Paper, Federal Bank of New York. 15. Gürkaynak, R. S., Sack, B., & Wright, J. H. (2010). The TIPS yield curve and inflation compensation. American Economic Journal: Macroeconomics, 2(1), 70-92. 16. Haubrich, J., Pennacchi, G., & Ritchken, P. (2012). Inflation expectations, real rates, and risk premia: evidence from inflation swaps. Review of Financial Studies, 25(5), 1588-1629. 17. JPMorgan Chase & Co. (2016). The investment outlook for 2017: Economic warming and political warnings. Market Insights, 1-10. 18. JPMorgan Chase & Co. (2011). Why we look at 5-year forward 5-year inflation. Global Inflation-Linked Strategy, 1-4. 19. Krishnamurthy, A., & Vissing-Jorgensen, A. (2011). The effects of quantitative easing on interest rates: channels and implications for policy (No. w17555). National Bureau of Economic Research. 20. Longstaff, F. A. (2002). The flight-to-liquidity premium in US Treasury bond prices (No. w9312). National Bureau of Economic Research. 21. Longstaff, F. A., Mithal, S., & Neis, E. (2005). Corporate yield spreads: Default risk or liquidity? New evidence from the credit default swap market. The Journal of Finance, 60(5), 2213-2253. 22. Ogunc, K., & Ogunc, A. (2016). Inflation-Linked Bonds for Strategic Asset Allocation. The Journal of Investment Consulting, 17-2, 59-68. 23. Pflueger, C. E., & Viceira, L. M. (2011). An empirical decomposition of risk and liquidity in nominal and inflation-indexed government bonds. National Bureau of Economic Research. 24. UBS Group AG (2016). UBS House View: Year Ahead 2017. House View by the Chief Investment Office, 1-113. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/59479 | - |
| dc.description.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。 | zh_TW |
| dc.description.abstract | 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. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-16T09:25:04Z (GMT). No. of bitstreams: 1 ntu-106-R04723031-1.pdf: 3546652 bytes, checksum: f3eb5e266d54d3d09e1d205717b26f9d (MD5) Previous issue date: 2017 | en |
| dc.description.tableofcontents | 口試委員審定書 i
謝辭 ii 中文摘要 iii 英文摘要 iv 目錄 v 圖目錄 vii 表目錄 viii 第一章 緒論 1 第二章 文獻回顧 3 第三章 評價理論 6 (一) TIPS的演進與債券特性 6 (二) 定義BE 9 第四章 研究方法 11 (一) 資料來源 11 (二) 變數定義 11 (三) 建構BE模型 15 (四) 建構流動性風險指標 20 (五) 建構BE交易策略 21 第五章 實證結果 25 第六章 結論與建議 34 第七章 參考文獻 35 附錄 39 | |
| dc.language.iso | zh-TW | |
| dc.subject | 金融風暴 | zh_TW |
| dc.subject | 美國一般公債 | zh_TW |
| dc.subject | 美國抗通膨公債 | zh_TW |
| dc.subject | 平衡通膨率 | zh_TW |
| dc.subject | 流動性風險 | zh_TW |
| dc.subject | Breakeven Inflation Rates | en |
| dc.subject | Financial Crisis | en |
| dc.subject | Liquidity Risk | en |
| dc.subject | U.S. Treasury Bonds | en |
| dc.subject | Treasury Inflation Protected Securities (TIPS) | en |
| dc.title | 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 | zh_TW |
| dc.title | Constructing Trading Strategy on Breakeven Fair Value Model and Liquidity Risk Indicator: A Study of U.S. Treasury Bonds and TIPS | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 105-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 姜堯民,鍾懿芳 | |
| dc.subject.keyword | 美國一般公債,美國抗通膨公債,平衡通膨率,流動性風險,金融風暴, | zh_TW |
| dc.subject.keyword | U.S. Treasury Bonds,Treasury Inflation Protected Securities (TIPS),Breakeven Inflation Rates,Liquidity Risk,Financial Crisis, | en |
| dc.relation.page | 42 | |
| dc.identifier.doi | 10.6342/NTU201700954 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2017-06-16 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
| 顯示於系所單位： | 財務金融學系 | |
文件中的檔案：
| 檔案 | 大小 | 格式 | |
|---|---|---|---|
| ntu-106-1.pdf 未授權公開取用 | 3.46 MB | Adobe PDF |
系統中的文件，除了特別指名其著作權條款之外，均受到著作權保護，並且保留所有的權利。