Long-Term Investors, Demand Shifts, and Yields

Kristy A E Jansen

The Review of Financial Studies, 2025, vol. 38, issue 1, 114-157

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.

Keywords: G11; G12; G18; G22; G23; G28 (search for similar items in EconPapers)
Date: 2025
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