通货膨胀调整后的债券、掉期和衍生品

IF 5 3区 经济学 Q1 BUSINESS, FINANCE Annual Review of Financial Economics Pub Date : 2023-06-20 DOI:10.1146/annurev-financial-110921-110855
Robert A. Jarrow, Yildiray Yildirim
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引用次数: 0

摘要

本文的目的是回顾通货膨胀调整后的债券,掉期和衍生品的文献。这些证券的估值和风险管理方法是标准HJM期限结构模型的外币扩展的应用。扩展模型中的两种“货币”是实际价格和名义价格。目前,对于这些模型在货币政策中的应用,实证文献主要使用这些模型来估计预期通货膨胀率和通货膨胀风险溢价。研究通货膨胀衍生品市场效率和相关估值模型比较的文献几乎没有,这是未来研究的一个富有成果的领域。《金融经济学年度评论》第15卷的最终在线出版日期预计为2023年11月。修订后的估计数请参阅http://www.annualreviews.org/page/journal/pubdates。
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Inflation-Adjusted Bonds, Swaps, and Derivatives
The purpose of this article is to review the literature on inflation-adjusted bonds, swaps, and derivatives. The methodology for valuation and risk management of these securities is an application of the foreign currency extension of a standard HJM term structure model. The two “currencies” in the extended model are real and nominal prices. Currently, for their use in monetary policy, the empirical literature primarily uses these models to estimate both the expected inflation rate and the inflation risk premium. A literature investigating the efficiency of the inflation derivative markets and a comparison of the relevant valuation models is almost nonexistent and a fruitful area for future research. Expected final online publication date for the Annual Review of Financial Economics, Volume 15 is November 2023. Please see http://www.annualreviews.org/page/journal/pubdates for revised estimates.
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