Who should buy long-term bonds?

• 成果类型: Article
• 署名作者: Campbell, JY; Viceira, LM
• 署名单位: Harvard University; National Bureau of Economic Research; Harvard University; Center for Economic & Policy Research (CEPR)
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.91.1.99
• 发表日期: 2001
• 页码: 99-127
• 关键词: lifetime portfolio selection; CONSUMPTION CHOICE; temporal behavior; equity premium; interest-rates; asset returns; risk-aversion; MODEL; substitution; policies

摘要

According to conventional wisdom, long-term bonds are appropriate for conservative long-term investors. This paper develops a model of optimal consumption and portfolio choice for infinite-lived investors with recursive utility who face stochastic interest rates, solves the model using an approximate analytical method, and evaluates conventional wisdom. As risk aversion increases, the myopic component of risky asset demand disappears bur the intertemporal hedging component does not. Conservative investors hold assets to hedge the risk that real interest rates will decline. Long-term inflation-indexed bonds are most suitable for this purpose, bur nominal bonds may? also be used if inflation risk is low.