Relative pricing of French Treasury inflation-linked and nominal bonds : an empirical approach using arbitrage strategies

Detalhes bibliográficos
Autor(a) principal: Séverac, Béatrice de
Data de Publicação: 2021
Outros Autores: Fonseca, José S. da
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.5/26171
Resumo: 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
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spelling Relative pricing of French Treasury inflation-linked and nominal bonds : an empirical approach using arbitrage strategiesArbitrageDurationInflation-linked bondsReal interest ratesInflation riskThis 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 notSpringerRepositório da Universidade de LisboaSéverac, Béatrice deFonseca, José S. da2022-11-23T10:53:38Z20212021-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/26171engSéverac, Béatrice de e José S. da Fonseca (2021). "Relative pricing of French Treasury inflation-linked and nominal bonds : an empirical approach using arbitrage strategies". Portuguese Economic Journal, 20(3):273-2951617-982X10.1007/s10258-020-00185-1metadata only accessinfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-03-06T14:55:40Zoai:www.repository.utl.pt:10400.5/26171Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:09:52.912722Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Relative pricing of French Treasury inflation-linked and nominal bonds : an empirical approach using arbitrage strategies
title Relative pricing of French Treasury inflation-linked and nominal bonds : an empirical approach using arbitrage strategies
spellingShingle Relative pricing of French Treasury inflation-linked and nominal bonds : an empirical approach using arbitrage strategies
Séverac, Béatrice de
Arbitrage
Duration
Inflation-linked bonds
Real interest rates
Inflation risk
title_short Relative pricing of French Treasury inflation-linked and nominal bonds : an empirical approach using arbitrage strategies
title_full Relative pricing of French Treasury inflation-linked and nominal bonds : an empirical approach using arbitrage strategies
title_fullStr Relative pricing of French Treasury inflation-linked and nominal bonds : an empirical approach using arbitrage strategies
title_full_unstemmed Relative pricing of French Treasury inflation-linked and nominal bonds : an empirical approach using arbitrage strategies
title_sort Relative pricing of French Treasury inflation-linked and nominal bonds : an empirical approach using arbitrage strategies
author Séverac, Béatrice de
author_facet Séverac, Béatrice de
Fonseca, José S. da
author_role author
author2 Fonseca, José S. da
author2_role author
dc.contributor.none.fl_str_mv Repositório da Universidade de Lisboa
dc.contributor.author.fl_str_mv Séverac, Béatrice de
Fonseca, José S. da
dc.subject.por.fl_str_mv Arbitrage
Duration
Inflation-linked bonds
Real interest rates
Inflation risk
topic Arbitrage
Duration
Inflation-linked bonds
Real interest rates
Inflation risk
description 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
publishDate 2021
dc.date.none.fl_str_mv 2021
2021-01-01T00:00:00Z
2022-11-23T10:53:38Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.5/26171
url http://hdl.handle.net/10400.5/26171
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Séverac, Béatrice de e José S. da Fonseca (2021). "Relative pricing of French Treasury inflation-linked and nominal bonds : an empirical approach using arbitrage strategies". Portuguese Economic Journal, 20(3):273-295
1617-982X
10.1007/s10258-020-00185-1
dc.rights.driver.fl_str_mv metadata only access
info:eu-repo/semantics/openAccess
rights_invalid_str_mv metadata only access
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Springer
publisher.none.fl_str_mv Springer
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
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