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
{"title":"通货膨胀调整后的债券、掉期和衍生品","authors":"Robert A. Jarrow, Yildiray Yildirim","doi":"10.1146/annurev-financial-110921-110855","DOIUrl":null,"url":null,"abstract":"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.","PeriodicalId":47162,"journal":{"name":"Annual Review of Financial Economics","volume":"21 1","pages":"0"},"PeriodicalIF":5.0000,"publicationDate":"2023-06-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Inflation-Adjusted Bonds, Swaps, and Derivatives\",\"authors\":\"Robert A. Jarrow, Yildiray Yildirim\",\"doi\":\"10.1146/annurev-financial-110921-110855\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"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.\",\"PeriodicalId\":47162,\"journal\":{\"name\":\"Annual Review of Financial Economics\",\"volume\":\"21 1\",\"pages\":\"0\"},\"PeriodicalIF\":5.0000,\"publicationDate\":\"2023-06-20\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Annual Review of Financial Economics\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1146/annurev-financial-110921-110855\",\"RegionNum\":3,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Annual Review of Financial Economics","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1146/annurev-financial-110921-110855","RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
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。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
查看原文
分享 分享
微信好友 朋友圈 QQ好友 复制链接
本刊更多论文
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.
求助全文
通过发布文献求助,成功后即可免费获取论文全文。 去求助
来源期刊
CiteScore
5.00
自引率
0.00%
发文量
26
期刊最新文献
Default and Bankruptcy Resolution in China Pari-Mutuel Betting Markets: Racetracks and Lotteries Revisited Corporate Social Responsibility Sovereign Debt Puzzles The Changing Face of Chapter 11 Bankruptcy: Insights from Recent Trends and Research
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
0
微信
客服QQ
Book学术公众号 扫码关注我们
反馈
×
意见反馈
请填写您的意见或建议
请填写您的手机或邮箱
已复制链接
已复制链接
快去分享给好友吧!
我知道了
×
扫码分享
扫码分享
Book学术官方微信
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术
文献互助 智能选刊 最新文献 互助须知 联系我们:info@booksci.cn
Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。
Copyright © 2023 Book学术 All rights reserved.
ghs 京公网安备 11010802042870号 京ICP备2023020795号-1