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

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

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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
Note: View the original document on HAL open archive server: https://hal-sciencespo.archives-ouvertes.fr/hal-03399472
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Published in Review of Financial Studies, Oxford University Press (OUP), 2013, 26 (8), pp.1914 - 1961. ⟨10.1093/rfs/hht013⟩

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Journal Article: Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt (2013) Downloads
Working Paper: Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt (2013) Downloads
Working Paper: Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt (2013) Downloads
Working Paper: Bond Market Clienteles, the Yield Curve and the Optimal Maturity Structure of Government Debt (2011) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-03399472

DOI: 10.1093/rfs/hht013

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