MEASURING LIMITS OF ARBITRAGE IN FIXED‐INCOME MARKETS
提出一个无需模型、稳健且直观的固定收益市场套利限制指数，该指数能更好地识别套利限制，并与多国相对价值指数及波动性、融资条件高度相关。
Abstract An emerging literature relies on an index of limits of arbitrage in fixed‐income markets. We analyze the benefits of an index that is model‐free, robust, and intuitive. This new index strengthens the evidence that limits of arbitrage proxy for risks priced in the cross‐section of returns. Trading simulations show that the new index improves identification of limits of arbitrage because it bypasses a noisy estimation step. Relative value indices in the United States, United Kingdom, Japan, Germany, Italy, France, Switzerland, and Canada exhibit strong commonality and high correlations with local volatility and funding conditions. The indices are updated regularly and available publicly.