Skip to Main content Skip to Navigation
Journal articles

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

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.
Document type :
Journal articles
Complete list of metadata

https://hal-sciencespo.archives-ouvertes.fr/hal-03399472
Contributor : Spire Sciences Po Institutional Repository Connect in order to contact the contributor
Submitted on : Sunday, October 24, 2021 - 2:46:09 AM
Last modification on : Wednesday, October 27, 2021 - 4:17:58 PM

Identifiers

Collections

Citation

Stéphane Guibaud, Yves Nosbusch, Dimitri Vayanos. Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt. Review of Financial Studies, Oxford University Press (OUP), 2013, 26 (8), pp.1914 - 1961. ⟨10.1093/rfs/hht013⟩. ⟨hal-03399472⟩

Share

Metrics

Record views

11