Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 8, 2021 erstellt
Beschreibung:
In this study, I use detailed data on bond and derivative positions of pension funds and insurance companies (P&Is) in the Netherlands to study demand shifts and their direct effect on yields. In particular, I exploit a change in the regulatory discount curve that made the liabilities more sensitive to changes in the 20-year interest rate but less so to longer maturity rates. Following the regulatory change, P&Is reduced their longest maturity holdings but increased those with maturities close to 20 years. The aggregate demand shift led to a steeping of the long-end of the yield curve with lower yields around 20-year maturities and higher yields at longer maturities. Similar effects on yields appear in a large panel of European countries after EU insurance regulations implemented the same regulatory change. My findings have important policy implications, as they indicate that policymakers should carefully consider the regulatory framework of long-term investors when analyzing the impact of monetary policies on yields