| 摘要(英) |
Abstract
Treasury Inflation-Protection Securities (TIPS) is a financial instrument which has the features of stable return and anti-inflation function. In addition to introduce TIPS, this paper also investigates three main trading strategies of TIPS: long-short strategy, carry strategy, and break-even strategy. The methodology of this paper mainly follows F. Bardong and T. Lehnert (2004, 2005). However, one additional factor, interest incomes, is added in the methodology of this paper.
The results of this research can be concluded as follows. First, using inflation estimates with shorter forecast period in these trading strategies can result in higher rates of return because of the higher accuracy. Second, different holding periods are suitable for different trading strategies of TIPS. Shorter holding period, such as one month, is more suitable for long-short strategy. On the other hand, longer holding period is more suitable for carry strategy. Moreover, the return of carry strategy is better among these three trading strategies. No obvious evidence shows that which kind of holding period is more suitable for break-even strategy. Furthermore, the performance of break-even strategy is not outstanding. Third, using TIPS with longer maturity, such as 30-year TIPS, in these trading strategies will result in worse rates of return. |
| 參考文獻 |
參考文獻
中文
陳威光 (2003)，「新金融商品個案集 I」，初版，台北：智勝
英文
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網址
United States Department of the Treasury
http://www.ustreas.gov/
Bureau of the Public Debt
http://www.publicdebt.treas.gov/
The Federal Bank Reserve Bank of ST. Louis
http://stlouisfed.org/
The Federal Bank Reserve Bank of Philadelphia
http://www.phil.frb.org/index.html
U.S. Department of Labor Bureau of Labor Statistics
http://www.bls.gov/home.htm
The Bond Market Association
http://www.investinginbonds.com/ |
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