BSTRACT：We propose a clientele-based model of the yield curve and optimal maturity structure of government
debt. Clienteles are generations of agents at different lifecycle stages in an overlapping-generations
economy. An optimal maturity structure exists in the absence of distortionary taxes and induces efficient
intergenerational risksharing. If agents are more risk-averse than log, then an increase in the long-horizon
clientele raises the price and optimal supply of long-term bonds—effects that we also confirm empirically
in a panel of OECD countries. Moreover, under the optimal maturity structure, catering to clienteles
is limited and long-term bonds earn negative expected excess returns.
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