Bond market clienteles, the yield curve and the optimal maturity structure of government debt

Stéphane Guibaud, Yves Nosbusch and Dimitri Vayanos

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

Abstract: We propose a clientele-based model of the yield curve and optimal maturity structure of government debt. Clienteles are generations of agents at different life cycle 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. But while a welfare-maximizing government caters to clienteles, it does not accommodate fully their demand, and limits issuance of long-term bonds to a level where these earn negative expected excess returns.

JEL-codes: H63 (search for similar items in EconPapers)
Pages: 37 pages
Date: 2011-02-01
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http://eprints.lse.ac.uk/29785/ Open access version. (application/pdf)

Related works:
Journal Article: Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt (2013)
Working Paper: Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt (2013)
Working Paper: Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt (2013)
Working Paper: Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt (2013)
Working Paper: Bond Market Clienteles, the Yield Curve and the Optimal Maturity Structure of Government Debt (2011)
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