Journal of Portfolio Management, Winter 2016, v. 42, iss. 2, pp. 56-63

股票-債券相關性和久期風險配置

作者：Xinyi, Liu; Hua, Fan

摘要：作者利用高頻數據估測股票-債券周收益的相關性，發現其相關性較低時往往預示着未來幾周内10年期利率的下跌和未來一年内1年期利率的下跌。 反過來，當其相關性較高時，利率會相應上升。因此，投資者們，特别是有類似債券的長期負債的投資者，在近期股票-債券相關性較低時承擔着更高的久期風險。關于這種可預測性，作者提出了兩種可能的解釋，一是市場和政策制定者對不斷變化的經濟條件反應不足，而股票-債券相關性反映了這種經濟條件的變化；二是市場初期對長期債券的避風港價值反應不足。

Stock-Bond Correlation and Duration Risk Allocation

Xinyi, Liu; Hua, Fan

ABSTRACT

Using weekly stock-bond correlations estimated with high-frequency data, the authors find that a lower (more negative) stock-bond correlation forecasts falling 10-year interest rates over the coming weeks. It also forecasts falling one-year interest rates over the next year. The reverse is true when the stock-bond correlation is higher (more positive). Therefore investors, in particular those with long-term, bond-like liabilities, should take greater duration risk when the recent stock-bond correlations are lower. The authors propose two possible explanations of such predictive power: (1) the markets and/or policymakers' underreaction to the changing economic conditions the stock-bond correlation implies; and (2) the markets' initial underreaction to the long-term bonds' safe-haven status.

原文鍊接：http://www.iijournals.com/doi/full/10.3905/jpm.2016.42.2.056

翻譯：陳爽