정책불확실성과 미국 국채 수요: 투자자 유형별 분석

Translated title of the contribution: Policy Uncertainty and Investors’ Demand for US Treasuries: Who Most Concerned?

Kay Sun Park

Research output: Contribution to journalJournal articleResearchpeer-review

Abstract

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.
Translated title of the contributionPolicy Uncertainty and Investors’ Demand for US Treasuries: Who Most Concerned?
Original languageKorean
JournalInternational Business Journal
Volume27
Issue number3
Pages (from-to)87-110
ISSN1598-2718
DOIs
Publication statusPublished - Aug 2016

Bibliographical note

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Keywords

  • Policy uncertainty
  • US treasuries
  • Uncertainty and Investors
  • Who
  • Concerned
  • Demand

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