Journal of Empirical Finance, Volume 48, September 2018, Pages 374-389

模拟通胀相关债券的历史收益

作者：Laurens Swinkels (Erasmus University Rotterdam, Netherlands)

摘要：由于近期引入通胀相关债券，投资于这些资产的收益的实证研究通常依赖于有限数量的观测。我们估计盈亏平衡通胀率的模型，并利用这些模型估计假定的通胀相关债券的收益率。我们将这些与最近的实际通胀相关债券收益率进行比较，并发现对专业预测者的调查和移动平均模型表现最佳。我们利用19个国际通胀相关债券市场的样本进行了确认。通过对专业预测人员??的调查，我们根据名义债券市场的可用性，为41个国家估计1987年或之后的假定的通胀相关债券回报数据。资产配置研究人员可以使用这些模拟数据，但平均相关系数为0.7意味着模拟数据是实际通胀相关债券收益率数据最合理的代理变量。这一警示性说明也感谢正在使用模拟通胀相关债券回报的现有研究。

关键词：资产配置；债券；固定收益；通胀相关债券；投资；模拟

Simulating historical inflation-linked bond returns

Laurens Swinkels (Erasmus University Rotterdam, Netherlands)

ABSTRACT

Empirical research on the benefits of investing in inflation-linked bonds usually relies on a limited number of observations due to the relatively recent introduction of these assets. We estimate models for the break-even inflation rate and use these to create hypothetical inflation-linked bond returns. We compare these with the return on actual inflation-linked bond returns on a recent sample and find that surveys of professional forecasters and moving average models perform best. We confirm these findings for a sample of 19 international inflation-linked bond markets. Using surveys of professional forecasters, we create hypothetical inflation-linked bond return series for 41 countries starting in 1987 or later depending on the availability of nominal bond markets. These simulated series can be used by asset allocation researchers, but an average correlation of 0.7 means that the simulated series are at best reasonable proxies for real data on inflation-linked bond returns. This cautionary note is also relevant to appreciate existing research using simulated inflation-linked bond returns.

Keywords: Asset allocation; Bonds; Fixed income; Inflation-linked bonds; Investing; Simulation

原文链接：

https://www.sciencedirect.com/science/article/pii/S0927539818300434

翻译：陈然