Working Papers
Are Pension Funds Natural Holders of Long-Term Treasuries? (July 2026)
Aleksandar Andonov, Kristy A.E. Jansen, and Joshua D. Rauh
Abstract (draft available upon request): Contrary to conventional wisdom, we show that U.S. public pension funds are not major holders of long-term U.S. Treasuries. The average time to maturity of their Treasury portfolios fluctuates around 10 years, only 3.2 years longer than the average maturity of marketable U.S. government debt outstanding. This conclusion is robust to including synthetic Treasury exposure through Treasury futures and interest rate swaps. These results suggest that U.S. public pension funds are unlikely to absorb the longest-maturity Treasuries at scale.
Dissecting Treasury Market Resilience (June 2026)
Kristy A.E. Jansen, Wenhao Li, and Lukas Schmid
Abstract (draft available upon request): We study what makes the Treasury market resilient: how far yields must move before investors absorb shocks. The paper asks how resilience depends on the marginal holder, maturity, shock persistence, foreign demand, arbitrageur capacity, and Federal Reserve balance-sheet policy. The analysis shifts attention from the total quantity of debt to the market structure and policy design that determine who absorbs Treasury-market stress.
Aleksandar Andonov, Kristy A.E. Jansen, and Joshua D. Rauh
Awards: Recipient of the NBER initiative on Market Frictions and Financial Risks Grant 2024/2025, Best Paper Award at the LBS Summer Finance Symposium
Presentations (main): AFA, EFA, NBER-OFR meeting, Harvard Junior Conference, LBS Summer Finance Symposium, University of Toronto Asset Pricing and Investments Workshop, Joint Inquire U.K./Europe Conference, IPC Current Issues in Alternatives NYC Symposium
Kristy A.E. Jansen, Wenhao Li, and Lukas Schmid
Awards: Recipient of the NBER initiative on Market Frictions and Financial Risks Grant 2023/2024, Best Paper Award at the JHU Carey Finance Conference 2024
Presentations (main): WFA, Princeton Conference on Asset Demand Systems, CEPR Asset Pricing Symposium, Fed Conference on Fixed-Income Markets, LBS Summer Finance Symposium, Chicago Treasury Market Conference, NBER Asset Pricing, 5th David Backus Memorial Conference, Johns Hopkins Carey Finance Conference, Macro-Finance Tepper-LAEF Conference, Princeton Macro-Finance Conference, NBER-OFR meeting, SITE Stanford, Zurich Quantitative Macro Conference
Kristy A.E. Jansen, Hyun Song Shin, and Goetz von Peter
Presentations (main): AFA, NFA, EFA, CEBRA, International Role of the U.S. Dollar.
