Bond yields and debt supply: new evidence through the lens of a preferred-habitat model
研究了债券收益率对债务供给变化的反应，发现期限利差与长期债务相对供给正相关，且在高风险厌恶时反应更强，基于德国债券数据的时变系数模型验证了理论预测。
This paper examines the responsiveness of bond yields to changes in debt supply. The preferred-habitat theory predicts a positive relation between the term spread and relative supply of longer term debt, and that this relation is stronger when risk aversion is high. To capture this effect, a time-varying coefficient model is introduced and applied to German bond data. The results support the theoretical predictions and indicate substantial time variation: under high risk aversion, yield spreads react about three times more strongly than when risk aversion is low. The accumulated response of term spreads to a one standard deviation change in debt supply ranges between 4 and 46 basis points.