投资欧洲货币联盟政府债券的错误和挑战

IF 1.1 4区经济学 Q3 BUSINESS, FINANCE

Journal of Portfolio Management Pub Date : 2023-03-15 DOI:10.3905/jpm.2023.1.481

Gueorgui S. Konstantinov

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引用次数: 0

摘要

本文强调了与投资经济和货币联盟（EMU）政府债券相关的一些主要实际错误和挑战，以及实施EMU政府债券战略的困难。这些挑战涉及投资组合配置和因子债券投资组合。投资个别欧洲货币联盟政府债券时，应考虑不同国家的经济基本面、央行政策、市场时机、市场风险、模型和管理风险、流动性、特殊国家风险以及溢出效应。EMU债券的这些基本性质在应用于股权投资的单个债券投资组合的投资组合配置模型（例如，跟踪误差或均值-方差优化）中没有得到充分解决。欧洲货币联盟政府债券的主要差异与国家风险有关，可以概括为核心国家和外围国家收益率利差之间的主要差异。

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Errors and Challenges Associated with Investing in EMU Government Bonds

This article highlights some of the main practical errors and challenges associated with investing in Economic and Monetary Union (EMU) government bonds and the difficulties in implementing EMU government bond strategies. These challenges refer to both portfolio allocation and to factor bond portfolios. Different country economic fundamentals, central bank policy, market timing, market risks, model and management risks, liquidity, and idiosyncratic country risks as well as spillover effects should be considered when investing in individual EMU government bonds. These essential properties of EMU bonds are not adequately addressed in portfolio allocation models (e.g., the tracking error or the mean–variance optimization) applied to single bond portfolios from equity investing. The main EMU government bond disparities are associated with country risks, which can be generalized to the main difference between core and periphery country yield spreads.

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来源期刊

Journal of Portfolio Management Economics, Econometrics and Finance-Finance

CiteScore

2.20

自引率

28.60%

发文量

113

期刊介绍： Founded by Peter Bernstein in 1974, The Journal of Portfolio Management (JPM) is the definitive source of thought-provoking analysis and practical techniques in institutional investing. It offers cutting-edge research on asset allocation, performance measurement, market trends, risk management, portfolio optimization, and more. Each quarterly issue of JPM features articles by the most renowned researchers and practitioners—including Nobel laureates—whose works define modern portfolio theory.