Euro area inflation-linked bonds market: Analysis and immunization abilities
Autor(a) principal: | |
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Data de Publicação: | 2009 |
Tipo de documento: | Dissertação |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10071/14585 |
Resumo: | This thesis focuses on inflation-linked bonds. These bonds, although not as popular as other types of bonds, are not a new instrument. The first inflation-linked bond issue took place in the United States in the eighteenth century. In Europe, it would be only in the end of the twentieth century that inflation-linked bonds would be issued in a regular basis by European Monetary Union participant countries. This thesis objective is twofold: to characterize this type of bonds and evaluate their immunization abilities. The first part of this study focuses in defining and describing thoroughly these bonds: their issuers, security design, indexation choice and applications. The second part is dedicated to investigating which portfolio strategies using inflation-linked bonds achieve better immunization results for single inflation-growing liabilities. Simulations were made for investment horizons between one and five years, with and without transaction costs. The results presented point to the superiority of bullet portfolios, over random and barbell portfolios, in terms of liability coverage. Bullet portfolios also prove to be less volatile. These aforementioned results hold in the presence of transaction costs. It is also visible that the portfolios’ return is very sensitive to the evolution of the real term structure of interest rates. As for the comparison between fixed rate bonds and inflation-linked bonds, the latter prove to be better suited to immunize the liabilities under analysis. |
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Euro area inflation-linked bonds market: Analysis and immunization abilitiesInflation-linked bondsImmunizationDurationReal interest ratesMercado financeiroGestão de carteirasObrigaçõesInflaçãoTaxa de juro -- Interest rateGestão do riscoThis thesis focuses on inflation-linked bonds. These bonds, although not as popular as other types of bonds, are not a new instrument. The first inflation-linked bond issue took place in the United States in the eighteenth century. In Europe, it would be only in the end of the twentieth century that inflation-linked bonds would be issued in a regular basis by European Monetary Union participant countries. This thesis objective is twofold: to characterize this type of bonds and evaluate their immunization abilities. The first part of this study focuses in defining and describing thoroughly these bonds: their issuers, security design, indexation choice and applications. The second part is dedicated to investigating which portfolio strategies using inflation-linked bonds achieve better immunization results for single inflation-growing liabilities. Simulations were made for investment horizons between one and five years, with and without transaction costs. The results presented point to the superiority of bullet portfolios, over random and barbell portfolios, in terms of liability coverage. Bullet portfolios also prove to be less volatile. These aforementioned results hold in the presence of transaction costs. It is also visible that the portfolios’ return is very sensitive to the evolution of the real term structure of interest rates. As for the comparison between fixed rate bonds and inflation-linked bonds, the latter prove to be better suited to immunize the liabilities under analysis.A presente tese incide sobre obrigações indexadas à inflação. Apesar de não serem tão populares como outras obrigações, não são um novo activo. A primeira emissão de obrigações indexadas à inflação ocorreu no século XVIII nos Estados Unidos. Na Europa, apenas no final do século vinte estas obrigações passariam a ser emitidas com regularidade por países inseridos na União Económica e Monetária. Este estudo tem dois objectivos: caracterizar as obrigações indexadas à inflação e avaliar a sua capacidade de imunização. A primeira parte do estudo consiste em definir e caracterizar exaustivamente estas obrigações: emitentes, estrutura, indexação e aplicações. A segunda parte consiste em aferir que estratégias para carteiras de obrigações indexadas à inflação imunizam melhor responsabilidades únicas que crescem com a inflação. Foram efectuadas simulações para horizontes temporais entre um e cinco anos, com e sem custos de transacção. Quanto ao grau de cobertura de responsabilidades, os resultados alcançados mostram que as carteiras bullet obtêm uma performance superior às carteiras aleatórias e barbell. As carteiras bullet são também menos voláteis. Estes resultados mantêm-se quando se consideram custos de transacção. É também observável que a rentabilidade das carteiras é bastante sensível a variações na estrutura temporal de taxas de juro reais. Relativamente à comparação entre obrigações nominais de taxa fixa e obrigações indexadas à inflação, estas últimas são mais indicadas para imunizar este tipo de responsabilidade.2017-11-06T17:44:34Z2009-01-01T00:00:00Z20092009-11info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfapplication/octet-streamhttp://hdl.handle.net/10071/14585engSimões, Cláudia Patrícia Gonçalvesinfo: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:RCAAP2023-11-09T17:44:42Zoai:repositorio.iscte-iul.pt:10071/14585Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T22:21:14.831324Repositório 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 |
Euro area inflation-linked bonds market: Analysis and immunization abilities |
title |
Euro area inflation-linked bonds market: Analysis and immunization abilities |
spellingShingle |
Euro area inflation-linked bonds market: Analysis and immunization abilities Simões, Cláudia Patrícia Gonçalves Inflation-linked bonds Immunization Duration Real interest rates Mercado financeiro Gestão de carteiras Obrigações Inflação Taxa de juro -- Interest rate Gestão do risco |
title_short |
Euro area inflation-linked bonds market: Analysis and immunization abilities |
title_full |
Euro area inflation-linked bonds market: Analysis and immunization abilities |
title_fullStr |
Euro area inflation-linked bonds market: Analysis and immunization abilities |
title_full_unstemmed |
Euro area inflation-linked bonds market: Analysis and immunization abilities |
title_sort |
Euro area inflation-linked bonds market: Analysis and immunization abilities |
author |
Simões, Cláudia Patrícia Gonçalves |
author_facet |
Simões, Cláudia Patrícia Gonçalves |
author_role |
author |
dc.contributor.author.fl_str_mv |
Simões, Cláudia Patrícia Gonçalves |
dc.subject.por.fl_str_mv |
Inflation-linked bonds Immunization Duration Real interest rates Mercado financeiro Gestão de carteiras Obrigações Inflação Taxa de juro -- Interest rate Gestão do risco |
topic |
Inflation-linked bonds Immunization Duration Real interest rates Mercado financeiro Gestão de carteiras Obrigações Inflação Taxa de juro -- Interest rate Gestão do risco |
description |
This thesis focuses on inflation-linked bonds. These bonds, although not as popular as other types of bonds, are not a new instrument. The first inflation-linked bond issue took place in the United States in the eighteenth century. In Europe, it would be only in the end of the twentieth century that inflation-linked bonds would be issued in a regular basis by European Monetary Union participant countries. This thesis objective is twofold: to characterize this type of bonds and evaluate their immunization abilities. The first part of this study focuses in defining and describing thoroughly these bonds: their issuers, security design, indexation choice and applications. The second part is dedicated to investigating which portfolio strategies using inflation-linked bonds achieve better immunization results for single inflation-growing liabilities. Simulations were made for investment horizons between one and five years, with and without transaction costs. The results presented point to the superiority of bullet portfolios, over random and barbell portfolios, in terms of liability coverage. Bullet portfolios also prove to be less volatile. These aforementioned results hold in the presence of transaction costs. It is also visible that the portfolios’ return is very sensitive to the evolution of the real term structure of interest rates. As for the comparison between fixed rate bonds and inflation-linked bonds, the latter prove to be better suited to immunize the liabilities under analysis. |
publishDate |
2009 |
dc.date.none.fl_str_mv |
2009-01-01T00:00:00Z 2009 2009-11 2017-11-06T17:44:34Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10071/14585 |
url |
http://hdl.handle.net/10071/14585 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
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openAccess |
dc.format.none.fl_str_mv |
application/pdf application/octet-stream |
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 |
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Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
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RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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1799134773704130560 |