ICAR Research Data Repository for Knowledge Management
Replication data for: Who Should Buy Long-Term Bonds?
Harvard Dataverse (Africa Rice Center, Bioversity International, CCAFS, CIAT, IFPRI, IRRI and WorldFish)
View Archive Info| Field | Value | |
| Title |
Replication data for: Who Should Buy Long-Term Bonds?
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| Identifier |
https://doi.org/10.7910/DVN/8KLQPO
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| Creator |
John Y. Campbell
Luis Viceira |
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| Publisher |
Harvard Dataverse
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| Description |
According to conventional wisdom, long-term bonds are appropriate for conservative long-term investors. This paper develops a model of optimal consumption and portfolio choice for infinite-lived investors with recursive utility who face stochastic interest rates, solves the model using an approximate analytical method, and evaluates conventional wisdom. As risk aversion increases, the myopic component of risky asset demand disappears but the intertemporal hedging component does not. Conservative investors hold assets to hedge the risk that real interest rates will decline. Long-term inflation-indexed bonds are most suitable for this purpose, but nominal bonds may also be used if inflation risk is low.
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| Subject |
Long-term bonds
Optimal consumption Portfolio choice Infinite-lived investors Intertemporal hedging |
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| Date |
2007
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| Relation |
John Y. Campbell and Luis Viciera, 1998. "Who Should Buy Long-Term Bonds?," FAME Research Paper Series rp5, International Center for Financial Asset Management and Engineering. article available here John Y. Campbell and Luis M. Viceira, 2000. "Who Should Buy Long-Term Bonds?," Harvard Institute of Economic Research Working Papers 1895, Harvard - Institute of Economic Research. article available here John Y. Campbell and Luis M. Viceira, 1998. "Who Sho uld Buy Long-Term Bonds?," NBER Working Papers 6801, National Bureau of Economic Research, Inc. article available here |
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