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- W2153992488 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." @default.
- W2153992488 created "2016-06-24" @default.
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- W2153992488 date "2013-04-12" @default.
- W2153992488 modified "2023-10-04" @default.
- W2153992488 title "Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt" @default.
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- W2153992488 doi "https://doi.org/10.1093/rfs/hht013" @default.
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