Journal of Portfolio Management, Winter 2016, v. 42, iss. 2, pp. 56-63

股票-债券相关性和久期风险配置

作者：Xinyi, Liu; Hua, Fan

摘要：作者利用高频数据估测股票-债券周收益的相关性，发现其相关性较低时往往预示着未来几周内10年期利率的下跌和未来一年内1年期利率的下跌。 反过来，当其相关性较高时，利率会相应上升。因此，投资者们，特别是有类似债券的长期负债的投资者，在近期股票-债券相关性较低时承担着更高的久期风险。关于这种可预测性，作者提出了两种可能的解释，一是市场和政策制定者对不断变化的经济条件反应不足，而股票-债券相关性反映了这种经济条件的变化；二是市场初期对长期债券的避风港价值反应不足。

Stock-Bond Correlation and Duration Risk Allocation

Xinyi, Liu; Hua, Fan

ABSTRACT

Using weekly stock-bond correlations estimated with high-frequency data, the authors find that a lower (more negative) stock-bond correlation forecasts falling 10-year interest rates over the coming weeks. It also forecasts falling one-year interest rates over the next year. The reverse is true when the stock-bond correlation is higher (more positive). Therefore investors, in particular those with long-term, bond-like liabilities, should take greater duration risk when the recent stock-bond correlations are lower. The authors propose two possible explanations of such predictive power: (1) the markets and/or policymakers' underreaction to the changing economic conditions the stock-bond correlation implies; and (2) the markets' initial underreaction to the long-term bonds' safe-haven status.

原文链接：http://www.iijournals.com/doi/full/10.3905/jpm.2016.42.2.056

翻译：陈爽