| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP9407 |
| DP9407 Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt | |
| Dimitri Vayanos | |
| 发表日期 | 2013-03-31 |
| 出版年 | 2013 |
| 语种 | 英语 |
| 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. |
| 主题 | Financial Economics ; International Macroeconomics |
| 关键词 | Clientele effects Debt management Government debt Interest rates Preferred habitat |
| URL | https://cepr.org/publications/dp9407 |
| 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/538243 |
| 推荐引用方式 GB/T 7714 | Dimitri Vayanos. DP9407 Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt. 2013. |
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