Bond supply and excess bond returns / Robin Greenwood, Dimitri Vayanos.
| Author/creator | Greenwood, Robin |
| Other author | Vayanos, Dimitri. |
| Other author | National Bureau of Economic Research. |
| Format | Electronic |
| Publication Info | Cambridge, MA : National Bureau of Economic Research, |
| Supplemental Content | Full text available from NBER Working Papers |
| Series | NBER working paper series ; working paper 13806 Working paper series (National Bureau of Economic Research : Online) ; working paper no. 13806. UNAUTHORIZED |
| Summary | "We examine empirically how the maturity structure of government debt affects bond yields and excess returns. Our analysis is based on a theoretical model of preferred habitat in which clienteles with strong preferences for specific maturities trade with arbitrageurs. Consistent with the model, we find that (i) the supply of long- relative to short-term bonds is positively related to the term spread, (ii) supply predicts positively long-term bonds' excess returns even after controlling for the term spread and the Cochrane-Piazzesi factor, (iii) the effects of supply are stronger for longer maturities, and (iv) following periods when arbitrageurs have lost money, both supply and the term spread are stronger predictors of excess returns"--National Bureau of Economic Research web site. |
| General note | Title from PDF file as viewed on 6/13/2008. |
| Bibliography note | Includes bibliographical references. |
| Access restriction | Available only to authorized users. |
| Other forms | Also available in print. |
| Technical details | Mode of access: World Wide Web |
| Genre/form | Electronic books. |
| LCCN | 2008610596 |
Availability
| Library | Location | Call Number | Status | Item Actions |
|---|---|---|---|---|
| Electronic Resources | Access Content Online | ✔ Available |