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Replication data for: Who Should Buy Long-Term Bonds?
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Citation Information
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John Y. Campbell; Luis Viceira, 2007, "Replication data for: Who Should Buy Long-Term Bonds?", hdl:1902.1/FZLJAXFHBW UNF:3:S/WHW96SHNHXv0jyZv+vMA== Murray Research Archive [Distributor]
Study Global Idhdl:1902.1/FZLJAXFHBW
AuthorsJohn Y. Campbell (Harvard University); Luis Viceira
ProducerJohn Y. Campbell
Production Date2007
DistributorMurray Research Archive Logo
Distributor Contactmra_support@help.hmdc.harvard.edu
Distribution Date2007
Deposit DateJune, 2007
Replication ForJohn Y. Campbell & Luis M. Viceira, 2001, "Who Should Buy Long-Term Bonds?," American Economic Review, American Economic Association, vol. 91(1), pages 99-127: article available here
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Abstract and Scope
Abstract

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.

KeywordsLong-term bonds; Optimal consumption; Portfolio choice; Infinite-lived investors; Intertemporal hedging
Topic ClassificationContributed; Economics; John Campbell; Economic theory (LCSH); Replication
Related StudiesJohn 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 Should Buy Long-Term Bonds?," NBER Working Papers 6801, National Bureau of Economic Research, Inc. article available here
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