78 42

Inflation-Linked Korea Treasury Bonds as a Strategic Asset

Title
Inflation-Linked Korea Treasury Bonds as a Strategic Asset
Author
박춘원
Keywords
inflation-linked bond; spanning test; strategic asset; conditional correlation
Issue Date
2017-08
Publisher
한양대학교 경제연구소
Citation
Journal of Economic Research (JER), v. 22, no. 2. page. 103-125
Abstract
The Korean government introduced its first inflation indexed bond, the Inflation-Linked Korea Treasury Bond (hereafter KTBi), in March 2007. This paper investigates the role of KTBi as a strategic asset in a nominal asset portfolio by estimating a bivariate GARCH model with conditional correlation and by conducting spanning tests. Estimation of the bivariate GARCH model reveals that market information such as the yield curve slope and yield spread between KTBi and KTB are useful in predicting the correlation between the returns of KTBi and KTB as well as the level of the returns of these two assets. Unconditional and conditional spanning tests produce different results regarding the potential role of KTBi as a strategic asset. While unconditional spanning tests do not reject the hypothesis that existing assets span KTBi, the same hypothesis is strongly rejected by conditional spanning tests. Such a result means that KTBi is capable of improving the mean-variance efficiency when added to existing investment portfolios.
URI
https://www.kci.go.kr/kciportal/ci/sereArticleSearch/ciSereArtiView.kci?sereArticleSearchBean.artiId=ART002255153https://repository.hanyang.ac.kr/handle/20.500.11754/115078
Appears in Collections:
COLLEGE OF ECONOMICS AND FINANCE[S](경제금융대학) > ECONOMICS & FINANCE(경제금융학부) > Articles
Files in This Item:
Inflation-Linked Korea Treasury Bonds as a Strategic Asset.pdfDownload
Export
RIS (EndNote)
XLS (Excel)
XML


qrcode

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.

BROWSE