We develop an empirically tractable model of the U.S. Treasury market that incorporates investors heterogeneous demand shocks and their responses to macroeconomic factors in determining equilibrium yields. Our estimated model enables us to (i) quantify investors’ sensitivities to yields and factors, (ii) decompose yield movements by investors, and (iii) analyze investor responses during specific economic episodes. First, investor demand and factor sensitivities vary significantly across sectors and market conditions, with the overall market being quite inelastic. Second, decomposing yield drivers reveals a structural shift since the financial crisis: Before 2008, foreign investors were the primary drivers of yields, but their influence has declined markedly since then, while the Federal Reserve has stepped in as a state-contingent liquidity provider. Third, contrary to conventional wisdom, we find that foreign investors do not exhibit flight-to-safety behavior for Treasuries during market turmoil; instead, domestic investors drive the countercyclical movement of Treasury prices.