Review of Financial Studies Vol. 38 No. 1 2025
Long-Term Investors, Demand Shifts, and Yields
Abstract
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.
- DOI
- 10.1093/rfs/hhae071
- Volume
- 38
- Issue
- 1
- Pages
- 114-157
- Language
- en
- Sources
- bibtex:phds-export.bib crossref openalex