Portuguese Economic Journal ( IF 2.6 ) Pub Date : 2020-10-06 , DOI: 10.1007/s10258-020-00185-1 Béatrice de Séverac , José S. da Fonseca
This paper investigates whether arbitrage opportunities exist between inflation-linked bonds and nominal bonds on the French Treasury market. Following arbitrage theory, we apply the risk hedging concept: we set up self-financing portfolios hedged against risks through durations of different orders. Perfectly hedged portfolios are those with a zero initial and a zero final value. The results show arbitrage gains when the first three duration orders are implemented, but they are not significantly different from zero when a fourth-order duration is added. Furthermore, a regression of arbitrage gains on the illiquidity measure of nominal and index Treasury bonds provides evidence that the illiquidity of inflation-linked bonds significantly explains arbitrage gains, whereas the illiquidity measure of nominal bonds does not.
中文翻译:
法国国库通胀挂钩债券和名义债券的相对定价:采用套利策略的经验方法
本文研究了法国国债市场上与通胀挂钩的债券和名义债券之间是否存在套利机会。遵循套利理论,我们采用了风险对冲的概念:我们建立了通过不同订单的持续时间对冲风险的自筹资金投资组合。完全对冲的投资组合是初始值为零且最终值为零的投资组合。结果显示,执行前三个持续时间顺序时套利收益,但是当添加四阶持续时间时,它们与零没有显着差异。此外,对名义和指数国债的非流动性度量的套利收益的回归提供了证据,表明与通胀挂钩的债券的非流动性显着解释了套利收益,而名义债券的非流动性度量却没有。