Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt
提出一个基于客户群体的收益率曲线与政府债务最优期限结构模型，发现长期客户群体增加会推高长期债券价格和最优供给，且最优期限结构下长期债券预期超额收益为负。
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.