財務金融研究

周盈吟

doi:10.6342/NTU.2011.02779

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財務金融研究

Essays in Finance

周盈吟 , Ph.D　　Advisor：洪茂蔚　　

英文 DOI： 10.6342/NTU.2011.02779

隨機波動度；美國抗通膨債券；隱含選擇權；通膨風險；指數型債券；投資組合選擇；跨期替代彈性； Stochastic volatility ； TIPS ； Embedded option ； Inflation Risk ； Indexed Bond ； Dynamic Portfolio Choice ； Elasticity of Inter-temporal Substitution

Abstract │ Reference (27) │ Times Cited (1) │ Altmetrics

Abstract 〈TOP〉

Parallel Abstract 〈TOP〉

The purpose of this thesis is to price the inflation indexed securities and solve for an inter-temporal portfolio consumption choice problem under inflation. In the first part of this thesis, a diffusion model for inflation rates with stochastic volatility is proposed, and closed-form solutions are derived for treasury inflation protected securities (TIPS). Empirically, our model with 29 TIPS, treasury constant maturity rates and reference CPI numbers in the U.S. market was used to derive the unknown parameters and spreads during January 2000 to October 2009. Empirical results show that an over-estimated spread is induced by ignoring the embedded option in TIPS. The average difference between the distorted estimate and actual value is about 0.82%. The minimum spread occurred around Jan. 2009 while the CPI-U decreased drastically. In the second part of this thesis, we solve for an inter-temporal portfolio consumption choice problem under inflation. The inclusion of the inflation-indexed bonds in the investor’s portfolio provides an opportunity to perfectly hedge against the inflation risk, while the hedging demand of the nominal bonds would be crowded out in proportion to the demand of the indexed bonds. The direction in which the interest rate and the inflation rate affect the optimal consumption-wealth ratio relies on the elasticity of inter-temporal substitution of the investor. The consumption wealth ratio is not completely determined by the real interest rate, it also depends on the nominal levels of the interest rate and the inflation rate. The capital market is calibrated to U.S. stock, bond, and inflation data. The optimal weights show that aggressive investors hold more nominal bonds to earn the inflation risk premium, and conservative ones concentrate on indexed bonds to hedge against the inflation risk.

Reference ( 27 ) 〈TOP〉

Bates, D., 1996, “Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in PHLX Deutsche Mark Options”, Review of Financial Studies, 9, 69-107.
連結：
Brennan, M. J., 1998, “The Role of Learning in Dynamic Portfolio Decisions”, European Finance Review, 1, 295-306.
連結：
Brennan, M.J, Y. Xia, 2000, “Stochastic Interest Rates and the Bond-Stock Mix”, European Finance Review, 4, 197-210.
連結：
Brennan, M.J, Y. Xia, 2001, “Assessing Asset Pricing Anomalies”, Review of Financial Studies, 14, 905-942.
連結：
Brennan, M.J, Y. Xia, 2002, “Dynamic Asset Allocation under Inflation”, Journal of Finance, 57, 1201-1238.
連結：

Times Cited (1) 〈TOP〉

徐鎮彥(2013)。美國抗通膨債券殖利率與通貨膨脹率及美國公債殖利率之關聯性。臺灣大學國際企業學研究所學位論文。2013。1-46。

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