Bond Supply and Excess Bond Returns

• 成果类型: Article
• 署名作者: Greenwood, Robin; Vayanos, Dimitri
• 署名单位: Harvard University; National Bureau of Economic Research
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hht133
• 发表日期: 2014
• 页码: 663
• 关键词: monetary-policy; term structure; interest-rates; yield curve; maturity; MARKET; segmentation; issues

摘要

We examine empirically how the supply and maturity structure of government debt affect bond yields and expected returns. We organize our investigation around a term-structure model in which risk-averse arbitrageurs absorb shocks to the demand and supply for bonds of different maturities. These shocks affect the term structure because they alter the price of duration risk. Consistent with the model, we find that the maturity-weighted-debt-to-GDP ratio is positively related to bond yields and future returns, controlling for the short rate. Moreover, these effects are stronger for longer-maturity bonds and following periods when arbitrageurs have lost money.