时间：2011年11月29日 14：30
主讲人：虞彤
题目：In Search of Preferred Habit: The Dynamics of Investors' Government Bond Portfolio Durations
地点：上海财经大学金融学院毓秀楼208会议室
Abstract:
This study attempts to quantify the preferred habitat, i.e. the inelasticity of demand for government bonds at different maturities by a major group of fixed-income investors. Using dynamic panel models to analyze a unique dataset on insurers’ government bond holdings, we document the existence of targeted portfolio durations by insurers and the quick adjustment of portfolio durations toward the target after temporary deviations. Further, we link the cross-firm difference of target durations to various insurer characteristics, in a way consistent with the level of interest rate risk in their operating liabilities. Finally, we show that it typically takes a steep yield difference to lure insurers to deviate away from the target durations. Our findings provide support to the microeconomic foundation of a classic term structure hypothesis that serves as the theoretical underpinning of Federal Reserve's second quantitative easing program in late 2010.
