| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP6710 |
| DP6710 Evidence on the Insurance Effect of Marginal Income Taxes | |
| Alexander Michaelides; Charles Grant; Mario Padula; Christos Koulovatianos | |
| 发表日期 | 2008-02-15 |
| 出版年 | 2008 |
| 语种 | 英语 |
| 摘要 | We examine empirically how the maturity structure of government debt affects bond yields and excess returns. Our analysis is based on a theoretical model of preferred habitat in which clienteles with strong preferences for specific maturities trade with arbitrageurs. Consistent with the model, we find that (i) the supply of long- relative to short-term bonds is positively related to the term spread, (ii) supply predicts positively long-term bonds' excess returns even after controlling for the term spread and the Cochrane-Piazzesi factor, (iii) the effects of supply are stronger for longer maturities, and (iv) following periods when arbitrageurs have lost money, both supply and the term spread are stronger predictors of excess returns. |
| 主题 | Financial Economics |
| 关键词 | Bond prices Limited arbitrage Preferred habitat Return predictability |
| URL | https://cepr.org/publications/dp6710 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/535546 |
| 推荐引用方式 GB/T 7714 | Alexander Michaelides,Charles Grant,Mario Padula,et al. DP6710 Evidence on the Insurance Effect of Marginal Income Taxes. 2008. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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