围绕宏观经济公告的债券隐含风险

Journal of Fixed Income Pub Date : 2023-08-17 DOI:10.3905/jfi.2023.1.167

Xinyang Li

{"title":"围绕宏观经济公告的债券隐含风险","authors":"Xinyang Li","doi":"10.3905/jfi.2023.1.167","DOIUrl":null,"url":null,"abstract":"Using a large panel of Treasury futures and options, this study constructs model-free measures of bond uncertainty and tail risks. The author mainly studies the behavior of bond risk measures around FOMC announcements and document three novel findings. First, bond uncertainty risk displays a rise and resolution similar to the stock VIX index, while tail risks don’t respond to announcements. Second, pre-FOMC announcement drift exists in terms of Treasury yields declining by 1 bps on the day before the announcement. Third, option-implied uncertainty cannot help explain the pre-FOMC announcement drift.","PeriodicalId":53711,"journal":{"name":"Journal of Fixed Income","volume":"89 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2023-08-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":"{\"title\":\"Bond Implied Risks around Macroeconomic Announcements\",\"authors\":\"Xinyang Li\",\"doi\":\"10.3905/jfi.2023.1.167\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Using a large panel of Treasury futures and options, this study constructs model-free measures of bond uncertainty and tail risks. The author mainly studies the behavior of bond risk measures around FOMC announcements and document three novel findings. First, bond uncertainty risk displays a rise and resolution similar to the stock VIX index, while tail risks don’t respond to announcements. Second, pre-FOMC announcement drift exists in terms of Treasury yields declining by 1 bps on the day before the announcement. Third, option-implied uncertainty cannot help explain the pre-FOMC announcement drift.\",\"PeriodicalId\":53711,\"journal\":{\"name\":\"Journal of Fixed Income\",\"volume\":\"89 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2023-08-17\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"1\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Fixed Income\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.3905/jfi.2023.1.167\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Fixed Income","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.3905/jfi.2023.1.167","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}

引用次数: 1

摘要

利用大量国债期货和期权，本研究构建了债券不确定性和尾部风险的无模型度量。作者主要研究了FOMC公告前后债券风险指标的行为，并记录了三个新的发现。首先，债券不确定性风险表现出与股票波动率指数类似的上升和消退，而尾部风险对公告没有反应。其次，在联邦公开市场委员会宣布之前，美国国债收益率在宣布前一天下降了1个基点。第三，期权隐含的不确定性无法解释fomc宣布之前的走势。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

Bond Implied Risks around Macroeconomic Announcements

Using a large panel of Treasury futures and options, this study constructs model-free measures of bond uncertainty and tail risks. The author mainly studies the behavior of bond risk measures around FOMC announcements and document three novel findings. First, bond uncertainty risk displays a rise and resolution similar to the stock VIX index, while tail risks don’t respond to announcements. Second, pre-FOMC announcement drift exists in terms of Treasury yields declining by 1 bps on the day before the announcement. Third, option-implied uncertainty cannot help explain the pre-FOMC announcement drift.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

Journal of Fixed Income Economics, Econometrics and Finance-Economics and Econometrics

CiteScore

1.10

自引率

0.00%

发文量

期刊介绍： The Journal of Fixed Income (JFI) provides sophisticated analytical research and case studies on bond instruments of all types – investment grade, high-yield, municipals, ABSs and MBSs, and structured products like CDOs and credit derivatives. Industry experts offer detailed models and analysis on fixed income structuring, performance tracking, and risk management. JFI keeps you on the front line of fixed income practices by: •Staying current on the cutting edge of fixed income markets •Managing your bond portfolios more efficiently •Evaluating interest rate strategies and manage interest rate risk •Gaining insights into the risk profile of structured products.