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

Stéphane Guibaud (), Yves Nosbusch and Dimitri Vayanos
Additional contact information
Stéphane Guibaud: LSE - London School of Economics and Political Science

Post-Print from HAL

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 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.

Keywords: Bond market clientels; Government debt (search for similar items in EconPapers)
Date: 2013-08
References: Add references at CitEc
Citations: View citations in EconPapers (45)

Published in Review of Financial Studies, 2013, 26 (8), pp.1914 - 1961. ⟨10.1093/rfs/hht013⟩

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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 (2011)
Working Paper: Bond Market Clienteles, the Yield Curve and the Optimal Maturity Structure of Government Debt (2011)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-03399472

DOI: 10.1093/rfs/hht013

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().