We consider an arbitrage strategy that exactly replicates the cash flow of a sovereign nominal bond using inflation swaps and inflation-linked bonds. The strategy reveals a violation of the law of one price in the G7 countries, which is largest for the eurozone. Testing the strategy's exposure to deflation, volatility, liquidity, and macro-economic risks shows the observed mispricing is a risk premium, which is more pronounced in the eurozone. We find less support that financial limits to arbitrage explain the mispricing. We conclude that pure long-run arbitrage opportunities persist when these strategies are exposed to intermediate financial risks.

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国际主权债务市场的套利？来自六国通胀保值证券的证据

我们考虑一种套利策略，它使用通胀掉期和通胀挂钩债券精确复制主权名义债券的现金流。该战略揭示了 G7 国家违反一价定律的行为，这是欧元区最大的。测试该策略对通货紧缩、波动性、流动性和宏观经济风险的敞口表明，观察到的错误定价是一种风险溢价，这在欧元区更为明显。我们发现对套利的财务限制解释错误定价的支持较少。我们得出的结论是，当这些策略面临中等金融风险时，纯粹的长期套利机会仍然存在。