Guibaud, Stéphane, Nosbusch, Yves and Vayanos, Dimitri 
ORCID: 0000-0002-0944-4914
(2013)
Bond market clienteles, the yield curve, and the optimal maturity structure of government debt.
Review of Financial Studies, 26 (8).
pp. 1914-1961.
ISSN 0893-9454
Abstract
We propose a clientele-based model of the yield curve and optimal maturity structure of government debt. Clienteles are generations of agents at different lifecycle stages in an overlapping-generations economy. An optimal maturity structure exists in the absence of distortionary taxes and induces efficient intergenerational risksharing. If agents are more risk-averse than log, then an increase in the long-horizon clientele raises the price and optimal supply of long-term bonds—effects that we also confirm empirically in a panel of OECD countries. Moreover, under the optimal maturity structure, catering to clienteles is limited and long-term bonds earn negative expected excess returns.
| Item Type: | Article |
|---|---|
| Official URL: | http://rfs.oxfordjournals.org/ |
| Additional Information: | © 2013 The Authors |
| Divisions: | Finance |
| Subjects: | H Social Sciences > HG Finance H Social Sciences > HJ Public Finance |
| JEL classification: | E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates > E43 - Determination of Interest Rates; Term Structure of Interest Rates G - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice; Investment Decisions G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing; Trading volume; Bond Interest Rates H - Public Economics > H2 - Taxation, Subsidies, and Revenue > H21 - Efficiency; Optimal Taxation H - Public Economics > H6 - National Budget, Deficit, and Debt > H63 - Debt; Debt Management |
| Date Deposited: | 23 Apr 2013 12:59 |
| Last Modified: | 23 Apr 2024 20:48 |
| Funders: | PaulWoolley Centre |
| URI: | http://eprints.lse.ac.uk/id/eprint/37407 |
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