Publicação
Relative pricing of French Treasury inflation-linked and nominal bonds : an empirical approach using arbitrage strategies
| dc.contributor.author | Séverac, Béatrice de | |
| dc.contributor.author | Fonseca, José S. da | |
| dc.date.accessioned | 2022-11-23T10:53:38Z | |
| dc.date.available | 2022-11-23T10:53:38Z | |
| dc.date.issued | 2021 | |
| dc.description.abstract | 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 | pt_PT |
| dc.description.version | info:eu-repo/semantics/publishedVersion | pt_PT |
| dc.identifier.citation | 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 | pt_PT |
| dc.identifier.doi | 10.1007/s10258-020-00185-1 | pt_PT |
| dc.identifier.issn | 1617-982X | |
| dc.identifier.issn | 1617-9838 (online) | |
| dc.identifier.uri | http://hdl.handle.net/10400.5/26171 | |
| dc.language.iso | eng | pt_PT |
| dc.peerreviewed | yes | pt_PT |
| dc.publisher | Springer | pt_PT |
| dc.subject | Arbitrage | pt_PT |
| dc.subject | Duration | pt_PT |
| dc.subject | Inflation-linked bonds | pt_PT |
| dc.subject | Real interest rates | pt_PT |
| dc.subject | Inflation risk | pt_PT |
| dc.title | Relative pricing of French Treasury inflation-linked and nominal bonds : an empirical approach using arbitrage strategies | pt_PT |
| dc.type | journal article | |
| dspace.entity.type | Publication | |
| oaire.citation.conferencePlace | Lisboa | pt_PT |
| oaire.citation.endPage | 295 | pt_PT |
| oaire.citation.issue | 1 | pt_PT |
| oaire.citation.startPage | 273 | pt_PT |
| oaire.citation.title | Portuguese Economic Journal | pt_PT |
| oaire.citation.volume | 20 | pt_PT |
| rcaap.rights | closedAccess | pt_PT |
| rcaap.type | article | pt_PT |