Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt

• 成果类型: Article
• 署名作者: Guibaud, Stephane; Nosbusch, Yves; Vayanos, Dimitri
• 署名单位: University of London; London School Economics & Political Science; National Bureau of Economic Research
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hht013
• 发表日期: 2013
• 页码: 1913
• 关键词: term structure; monetary

摘要

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.