We perform portfolio-level analyses to understand insurance firms’ preferred habitat behavior in the government bond market. Based on portfolio durations and portfolio weights across maturities, we find that interest rate risk exposures of insurers’ portfolios are related to their operating liabilities and financing constraints. We show that this habitat behavior significantly affects bond pricing. During the “quantitative easing” era, bond purchases by the Federal Reserve have a larger impact on the yields of Treasury bonds with a higher habitat demand.

中文翻译：

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寻找栖息地,寻找栖息地

我们执行投资组合层面的分析，以了解保险公司在政府债券市场中的首选栖息地行为。基于不同期限的投资组合久期和投资组合权重，我们发现保险公司投资组合的利率风险敞口与其经营负债和融资约束有关。我们表明，这种栖息地行为会显着影响债券定价。“量化宽松”时代，美联储购买债券对栖息地需求较高的国债收益率影响较大。,我们执行投资组合层面的分析，以了解保险公司在政府债券市场中的首选栖息地行为。基于不同期限的投资组合久期和投资组合权重，我们发现保险公司投资组合的利率风险敞口与其经营负债和融资约束有关。我们表明，这种栖息地行为会显着影响债券定价。“量化宽松”时代，美联储购买债券对栖息地需求较高的国债收益率影响较大。