Bond Supply and Excess Bond Returns
研究了政府债券供给和期限结构如何影响债券收益率和预期收益，发现债务期限加权与GDP之比与债券收益率和未来收益正相关，且对长期债券影响更强。
We examine empirically how the supply and maturity structure of government debt affect bond yields and expected returns. We organize our investigation around a term-structure model in which risk-averse arbitrageurs absorb shocks to the demand and supply for bonds of different maturities. These shocks affect the term structure because they alter the price of duration risk. Consistent with the model, we find that the maturity-weighted-debt-to-GDP ratio is positively related to bond yields and future returns, controlling for the short rate. Moreover, these effects are stronger for longer-maturity bonds and following periods when arbitrageurs have lost money.