정책불확실성과 미국 국채 수요: 투자자 유형별 분석

This paper studied the impacts of policy uncertainty on demand for US Treasuries across different types of investors. Our paper demonstrates that US policy uncertainty plays a crucial role in determining demand for US Treasuries. Related findings are as follows: First, investors tend to raise demand for US Treasuries in response to an increase in policy uncertainty. Second, the effects are particularly clear and statistically significant for long-term institutional investors including pension funds, government retirement funds, mutual funds other than money market, and insurance companies. Third, the reactions of such investors is 1.3~3.5 times greater when policy uncertainty is overall high than when it is low. The results are robust with respect to controls and specifications. In short, long-term investors tend to put more weight on the disutility from uncertainty related to exogenous policy changes, which is furthered when the uncertainty level is overall high.