The DOI matches its Crossref record; 42 of the 42 references it cites were found in a registry or an index.
Who Should Buy Long-Term Bonds?
Open accessAbstract
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. (JEL G12)
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Cites
Filders, R. (1992) · International Journal of Forecasting · doi:10.1016/0169-2070(92)90130-2 · Cited by 16,165
A Theory of the Term Structure of Interest Rates
Cox, J. C., Ingersoll, J. E., & Ross, S. A. (1985) · Econometrica · doi:10.2307/1911242 · Cited by 8,271
An equilibrium characterization of the term structure
Vasicek, O. (1977) · Journal of Financial Economics · doi:10.1016/0304-405x(77)90016-2 · Cited by 6,085
The Econometrics of Financial Markets
Campbell, J. Y., Lo, A. W., & MacKinlay, A. C. (2012) · Princeton University Press eBooks · doi:10.2307/j.ctt7skm5 · Cited by 5,875
Self-citationMehra, R., & Prescott, E. C. (1985) · Journal of Monetary Economics · doi:10.1016/0304-3932(85)90061-3 · Cited by 5,535
Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case
Merton, R. C. (1969) · The Review of Economics and Statistics · doi:10.2307/1926560 · Cited by 5,187
Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*
Clarida, R., Gali, J., & Gertler, M. (2000) · Quarterly Journal of Economics · doi:10.1162/003355300554692 · Cited by 4,625
Epstein, L. G., & Zin, S. E. (1989) · Econometrica · doi:10.2307/1913778 · Cited by 4,262
Harrod, R. F., & Hicks, J. (1939) · Cited by 2,925
An intertemporal asset pricing model with stochastic consumption and investment opportunities
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Cited by
Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?
DeMiguel, V., Garlappi, L., & Uppal, R. (2009) · Review of Financial Studies · doi:10.1093/rfs/hhm075 · Cited by 3,199
Gomes, F., Haliassos, M., & Ramadorai, T. (2021) · Journal of Economic Literature · doi:10.1257/jel.20201461 · Cited by 396
Large-Scale Asset Purchases by the Federal Reserve: Did They Work?
Gagnon, J. E., Raskin, M., Remache, J., & Sack, B. P. (2010) · SSRN Electronic Journal · doi:10.2139/ssrn.1576596 · Cited by 304
Metadata
- Authors
- Campbell, J. Y., & Viceira, L. M.
- Venue
- American Economic Review
- Publisher
- American Economic Association
- Published
- 2001-03-01
- Volume
- 91
- Issue
- 1
- Pages
- 99-127
- ISSN
- 0002-8282 (ISSN-L)
- OpenAlex
- W2143455591
- Cited by
- 616
- References
- 42
- FWCI
- 59.45
- Type
- journal article
- Language
- en
- Open access
- green
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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