Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt - Sciences Po Access content directly
Journal Articles Review of Financial Studies Year : 2013

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.
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hal-03399472 , version 1 (24-10-2021)

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

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