Long-Term Investors, Demand Shifts, and Yields
利用荷兰养老金和保险公司监管贴现曲线改革，发现改革使这些机构调整债券持仓，导致收益率曲线长端变陡，并识别出银行比其他投资者更具价格弹性，能吸收需求冲击。
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.