Investor Heterogeneity in Treasury Markets

This paper replicates the demand system for asset pricing using security-level holdings data of treasuries and corporate bonds. Portfolio choice is modeled using characteristics like coupon rate, time to maturity, creditrating, issuance size, and bid-ask spread. Yield to maturity is instrumented by cross-sectional variation in pre-defined investment mandates. The effect of demand shocks on term premia are analyzed by investor type.