Factor regressions provide a model-agnostic way to identify what drives Treasury yields, but not which investors respond. We develop an equilibrium framework that decomposes yield-factor regressions into investor-level drivers. An optimal estimator that weights idiosyncratic shocks across investors identifies each investor’s demand response to yields and economic factors. Aggregating through market clearing recovers the standard factor regression, now decomposed by investor. Treasury demand is highly inelastic, with substantial heterogeneity across investors and time. Since 2008, foreign investors’ influence has waned while the Federal Reserve’s has grown. During flight-to-safety episodes, domestic – not foreign – investors drive the sharp decline in yields.
