Ellie Papavassiliou, Nikolas Topaloglou, S. Zenios
{"title":"gdp挂钩债券作为一种新的资产类别","authors":"Ellie Papavassiliou, Nikolas Topaloglou, S. Zenios","doi":"10.2139/ssrn.3611636","DOIUrl":null,"url":null,"abstract":"We show that GDP-linked bonds can provide diversification benefits to investors. We use a stochastic spanning methodology which makes no assumptions on the distributional characteristics of the returns of these innovative instruments and apply to test both floaters and linkers. We find that both types of GDP-linked bonds are not spanned by a benchmark set of stocks, bonds, and cash assets, thus providing a new asset class. Spanning is ruled out for a wide and reasonable range of bond design parameters. In out-of-sample testing we find significant diversification benefits for investors, with strongly statistically significant increases in Sharpe ratios in the range 0.10-0.43 for floaters and 0.05-0.17 for linkers over an optimal benchmark portfolio. The results for linkers depend on the risk premium that these instruments will trade, while floaters are less sensitive to the premium, but the benefits remain for the range of premia estimated in existing literature. Our finding are further explained by documenting the finance and macro factors that drive the performance of GDP-linked bonds, using generalized method of moments regressions.","PeriodicalId":209192,"journal":{"name":"ERN: Asset Pricing Models (Topic)","volume":null,"pages":null},"PeriodicalIF":0.0000,"publicationDate":"2020-05-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":"{\"title\":\"GDP-Linked Bonds as a New Asset Class\",\"authors\":\"Ellie Papavassiliou, Nikolas Topaloglou, S. Zenios\",\"doi\":\"10.2139/ssrn.3611636\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"We show that GDP-linked bonds can provide diversification benefits to investors. We use a stochastic spanning methodology which makes no assumptions on the distributional characteristics of the returns of these innovative instruments and apply to test both floaters and linkers. We find that both types of GDP-linked bonds are not spanned by a benchmark set of stocks, bonds, and cash assets, thus providing a new asset class. Spanning is ruled out for a wide and reasonable range of bond design parameters. In out-of-sample testing we find significant diversification benefits for investors, with strongly statistically significant increases in Sharpe ratios in the range 0.10-0.43 for floaters and 0.05-0.17 for linkers over an optimal benchmark portfolio. The results for linkers depend on the risk premium that these instruments will trade, while floaters are less sensitive to the premium, but the benefits remain for the range of premia estimated in existing literature. Our finding are further explained by documenting the finance and macro factors that drive the performance of GDP-linked bonds, using generalized method of moments regressions.\",\"PeriodicalId\":209192,\"journal\":{\"name\":\"ERN: Asset Pricing Models (Topic)\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2020-05-27\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"1\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"ERN: Asset Pricing Models (Topic)\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.3611636\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"ERN: Asset Pricing Models (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3611636","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
We show that GDP-linked bonds can provide diversification benefits to investors. We use a stochastic spanning methodology which makes no assumptions on the distributional characteristics of the returns of these innovative instruments and apply to test both floaters and linkers. We find that both types of GDP-linked bonds are not spanned by a benchmark set of stocks, bonds, and cash assets, thus providing a new asset class. Spanning is ruled out for a wide and reasonable range of bond design parameters. In out-of-sample testing we find significant diversification benefits for investors, with strongly statistically significant increases in Sharpe ratios in the range 0.10-0.43 for floaters and 0.05-0.17 for linkers over an optimal benchmark portfolio. The results for linkers depend on the risk premium that these instruments will trade, while floaters are less sensitive to the premium, but the benefits remain for the range of premia estimated in existing literature. Our finding are further explained by documenting the finance and macro factors that drive the performance of GDP-linked bonds, using generalized method of moments regressions.