دانلود رایگان مقاله انگلیسی شبیه سازی تاریخی بازده اوراق قرضه مرتبط با تورم - الزویر 2018

ABSTRACT

Empirical research on the benefits of investing in inflation-linked bonds usually relies on a limited number of observations due to the relatively recent introduction of these assets. We estimate models for the break-even inflation rate and use these to create hypothetical inflation-linked bond returns. We compare these with the return on actual inflation-linked bond returns on a recent sample and find that surveys of professional forecasters and moving average models perform best. We confirm these findings for a sample of 19 international inflation-linked bond markets. Using surveys of professional forecasters, we create hypothetical inflation-linked bond return series for 41 countries starting in 1987 or later depending on the availability of nominal bond markets. These simulated series can be used by asset allocation researchers, but an average correlation of 0.7 means that the simulated series are at best reasonable proxies for real data on inflation-linked bond returns. This cautionary note is also relevant to appreciate existing research using simulated inflation-linked bond returns.

6. Conclusion

Asset allocation researchers may want to use inflation-linked bond return data for asset allocation or liability modelling studies. Realized return series on this asset class are relatively short and characterized by a low and stable inflation environment. It is possible to simulate returns on inflation-linked bonds for periods when they did not yet exist. Our empirical results indicate that using the two year ahead inflation forecast of professional forecasters may work better than other methods that have been proposed in the literature, such as those by Kothari and Shanken (2004) or Chen and Terrien (2001). Simulation performance for 19 international bond markets is similar to that on the U.S. market. We make the simulated historical inflation-linked bond series online available. Hence, our results can be used by (asset allocation) researchers. However, we have to caution for using these simulated series as if they were actual data. The uncertainty around the simulation results needs to be taken into account, as the correlation is approximately 0.7 with realized series. Although perhaps better than nothing—it is unfortunately not a close substitute for realized data. Our results also put the claims of existing research that uses simulated inflation-linked bond returns in perspective.