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| Title: | 以多重資產投資組合探討通貨膨脹風險溢酬之實證研究
An empirical study on inflation risk premium: Evidence from multi-asset class portfolios |
| Authors: | 謝渼筠
Hsieh, Mei-Yun |
| Contributors: | 羅秉政
林修葳
Vincent, Kendro
Lin, Hsiou-Wei
謝渼筠
Hsieh, Mei-Yun |
| Keywords: | 通膨風險溢酬
因子投資
移動窗格法
Inflation risk premium
Factor investing
Moving window method |
| Date: | 2023 |
| Issue Date: | 2023-12-01 10:45:42 (UTC+8) |
| Abstract: | 本文以機構投資人的立場出發，以全球主要各類型資產為樣本範圍，篩選最具影響力的通膨指標，並建立簡易依循的投資操作模式，以期在通膨環境下獲取風險溢酬。研究方法是按資產對各項通膨相關指標的曝險大小，作為投資組合排序因子，逐項檢視各通膨指標哪一項的變動最適合建構通膨模擬投資組合，從而獲得通膨風險溢酬。
本研究發現以未來5年之5年期預期通膨率為排序因子所建立的通膨模擬投資組合於2019/9~2022/2的報酬率顯著高於所有樣本資產的平均，且以加入通膨指標後的CAPM模型研究結果顯示，通膨指標係數顯著大於0，不排除通膨風險溢酬的存在。惟投資組合的平均曝險係數大小與平均報酬率之間沒有一致的對應關係，故本文未能推定通膨因子策略能獲取顯著的風險溢酬。
This article attempts to establish a quantitative investment model to capture inflation risk premium for institutional investors by screening the most influential inflation indicators and taking the main types of global assets as the sample range. The research method is to use the beta size of asset returns to each inflation-related indicators as the portfolio sorting variable, and examine the explanation ability of the changes of each inflation indicator to the risk premium of the investment portfolio.
This study finds that the return of the inflation mimicking portfolio constructed based on the5-year, 5-year forward inflation expectation rate is significantly higher than the average of all sample assets from 2019/9 to 2022/2, and by introducing the inflation indicator into the CAPM model the result shows that the coefficient of the inflation indicator is significantly greater than 0, which does not rule out the existence of inflation risk premium. However, there is no consistent correspondence between the average beta of the portfolio and the average rate of return, so this study doesn’t find an evidence supporting that the inflation factor strategy can obtain significant risk premiums. |
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中央銀行（2021）。近期美國通膨預期上揚現象之分析。110年3月18日央行理監事會後記者會參考資料。https://www.cbc.gov.tw/tw/cp-432-132478-df984-1.html
連欣儀(2020)。Fed 對貨幣政策架構檢視情形之分析—從2%通膨目標論起。國際金融參考資料第71輯。 |
| Description: | 碩士
國立政治大學
國際金融碩士學位學程
111zb1022 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0111ZB1022 |
| Data Type: | thesis |
| Appears in Collections: | [國際金融碩士學位學程] 學位論文
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