Long-Term Investors, Demand Shifts, and Yields

• 成果类型: Article
• 署名作者: Jansen, Kristy A. E.
• 署名单位: University of Southern California
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhae071
• 发表日期: 2024
• 页码: 114
• 关键词: asset allocation; CURVES; stocks; individuals; liabilities; duration; BEHAVIOR; FLOW

摘要

I exploit a Dutch reform in the regulatory discount curve that makes the liabilities of pension funds and insurance companies (P&Is) more sensitive to changes in 20-year interest rates but less so to longer maturity rates. Following the reform, P&Is reduced their longest maturity bond holdings but increased those with 20-year maturities, steepening the long end of the yield curve. Using the reform as a shock to identify price elasticities of demand at the sector level based on holdings across maturity buckets and time, I show that banks are more price elastic than other investors and absorb demand shocks.