GDP-linked bonds as a new asset class
通过随机跨度检验，发现两类GDP挂钩债券（浮动型和挂钩型）无法被股票、债券和现金等基准资产组合所覆盖，为投资者提供了显著的分散化收益，夏普比率最高可提升0.37。
Using stochastic spanning tests without any distributional assumptions on returns, we show that the two classes of GDP-linked bonds, floaters and linkers, are not spanned by a broad benchmark set of stocks, bonds, and cash for a wide range of design specifications. Thus, they provide a new asset class with significant diversification benefits for investors, with proportional investments to these novel instruments estimated in the double digits and an increase in Sharpe ratios by up to 0.37 over the benchmark. The benefits depend on the market risk premium, but they persist for a wide range of premia estimates from existing literature and are robust to a randomized test. Using the generalized method of moments regressions, we document the finance and macro determinants of GDP-linked bond returns.