Arbitrage in International Sovereign Debt Markets? Evidence from the Inflation‐Protected Securities of Six Countries
研究利用通胀互换和通胀挂钩债券复制主权名义债券现金流，发现G7国家存在一价定律违背，欧元区最显著，且该错误定价实为风险溢价。
Abstract We consider an arbitrage strategy that exactly replicates the cash flow of a sovereign nominal bond using inflation swaps and inflation‐linked bonds. The strategy reveals a violation of the law of one price in the G7 countries, which is largest for the eurozone. Testing the strategy's exposure to deflation, volatility, liquidity, and macro‐economic risks shows the observed mispricing is a risk premium, which is more pronounced in the eurozone. We find less support that financial limits to arbitrage explain the mispricing. We conclude that pure long‐run arbitrage opportunities persist when these strategies are exposed to intermediate financial risks.