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1、第六講通脹指數(shù)化債券INFLATION-INDEXEDBONDS6.1通脹指數(shù)化債券概況inflation-linkedbondslinkersdesignedtocutouttheinflationriskofaninvestment.Thefirstknowninflation-indexedbondwasissuedbytheMassachusettsBayCompanyin1780.ThemarkethasgrowndramaticallysincetheBritishgovernmentbeganissuinginflation-linkedGiltsin1981.A
2、sof2008,government-issuedinflation-linkedbondscompriseover$1.5trillionoftheinternationaldebtmarket.Theinflation-linkedmarketprimarilyconsistsofsovereigndebt,withprivatelyissuedinflation-linkedbondsconstitutingasmallportionofthemarket.美國(guó)的指數(shù)化債券市場(chǎng)Treasuryinflation-protectedsecuritiesTIPSSeriesI
3、SavingsBondsI-bonds特點(diǎn)：本金隨通脹指數(shù)化幾乎沒(méi)有通脹風(fēng)險(xiǎn)無(wú)違約風(fēng)險(xiǎn)越來(lái)越高的流動(dòng)性地方政府稅收的減免Forexample,iftheannualcouponofthebondwas5%andtheunderlyingprincipalofthebondwas100units,theannualpaymentwouldbe5units.Iftheinflationindexincreasedby10%,theprincipalofthebondwouldincreaseto110units.Thecouponratewouldremainat5%,result
4、inginaninterestpaymentof110x5%=5.5units.名義國(guó)債的收益率高于TIPS的收益率,為投資者的通脹風(fēng)險(xiǎn)提供補(bǔ)償。盈虧平衡通脹率break-eveninflation(BEI)對(duì)五年期債券，利差＝(3.56%－1.25%)=231bps如果實(shí)際通脹率低于BEI，TIPS就比名義債券表現(xiàn)差，反之亦然。6.2指數(shù)化債券市場(chǎng)的影響1，Byofferinginflationindexedsecurities,governmentwillprotectthewelfareofinvestorswholentmoneytothegovernmentinthe
5、firstplace.2，byofferinginflation-indexedbonds,governmentgivesitselfastrongincentivetopursueanti-inflationarypolicies.theissuanceofinflation-indexedbondssimultaneouslyeliminatesthemoralhazardproblemassociatedwiththeissuanceofalong-termnominaldebtandreducestheneedtorolloverandrefundshort-termn
6、ominaldebt.3，indexedsecuritiesmayprovideausefulfunctioninprovidinginformationaboutfutureexpectedinflationrates.存在的困難：mostindexedbondshavelagsinindexing.thetaxtreatmentofTIPSwilldefinitelyinfluencethepricingandyieldsofTIPS.investorswilltypicallyrequireariskpremiumassociatedwiththeinflationris
7、k.Thisriskpremiumhastobeestimatedandthemannerinwhichitaffectstheexpectedinflationratehastobedetermined.thereisanissueastothedifferencesintheliquidityofthenominalandTIPSmarketinanygivenmaturitysector.4，TheTreasuryhasalsoarguedthattheissuanceofindexe
