探討抗通膨公債養券套利的因子以及擇時擇券分析

Abstract

本研究藉由比較美國抗通膨公債 (TIPS) 與美國一般公債 (UST) 於不同通膨情境下的養券表現，探討影響抗通膨公債養券套利的因子，旨在提供抗通膨公債養券操作擇時及擇券的參考依據。 研究結果顯示，影響TIPS 養券套利的主要因子包含影響資本利得的存續期間，以及影響養券利差的票面利率和TIPS 發行時的通膨基準指數 (Base CPI)。其中，資本利得為影響整體養券收益的主要因素。因此，在預期通膨上升下，TIPS 有較大的資本利得潛力，為養券操作TIPS 的適合時機。另外，TIPS 的本金通膨補償是提供高於UST 養券利差的主要貢獻因素，因此，選擇高票面利率和低Base CPI 的TIPS，有助於獲得較大的養券利差。

This study compares the performance of U.S. Treasury Inflation-Protected Securities (TIPS) and U.S. Treasury Bonds (UST) under different inflation scenarios, exploring the factors influencing TIPS carry trade. The aim is to provide references for timing and selecting TIPS for carry trades. The results show that the main factors affecting TIPS carry trade include the duration, which influences capital gains, and the coupon rate and Base CPI , which impact the carry spread. Among these, capital gains are the primary factor affecting overall carry trade profits. Therefore, in a rising expected inflation environment, the demand for TIPS driving up the price, making it an ideal time for carry trades. Additionally, the inflation compensation of TIPS principal is a major contributor to a higher carry spread compared to UST. Consequently, selecting TIPS with a high coupon rate and low Base CPI can help achieve a larger carry spread.