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- W2808104313 abstract "We document a strong effect of pension and insurance company (P&I) assets on the long end of the yield curve. Using data from 26 countries, the yield spread between 30-year and 10-year government bond yields is negatively related to the ratio of pension assets (in funded and private pension and life insurance arrangements) to GDP, suggesting that preferred-habitat demand by the P&I sector for long-dated assets drives the long end of the yield curve. We draw on changes in regulations in several European countries between 2008 and 2013 to provide well-identified evidence on the effect of the P&I sector on yields and to show that P&I demand is in part driven by hedging linked to the regulatory discount curve. When regulators reduce the dependence of the regulatory discount curve on a particular security, P&I demand for the security falls and its yield increases. These effects extend beyond long government bonds. Our results suggest that pension discount rules can have a destabilizing impact on bond markets that reverses once rules are changed." @default.
- W2808104313 created "2018-06-21" @default.
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- W2808104313 date "2018-01-01" @default.
- W2808104313 modified "2023-10-02" @default.
- W2808104313 title "The Impact of Pensions and Insurance on Global Yield Curves" @default.
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- W2808104313 doi "https://doi.org/10.2139/ssrn.3196068" @default.
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