Template-Type: ReDIF-Paper 1.0
Author-Name: Xiang Fang
Author-X-Name-First: Xiang
Author-X-Name-Last: Fang
Author-Name: Bryan Hardy
Author-X-Name-First: Bryan
Author-X-Name-Last: Hardy
Author-Name: Karen Lewis
Author-X-Name-First: Karen
Author-X-Name-Last: Lewis
Title: Who holds sovereign debt and why it matters
Abstract: This paper studies the impact of investor composition on the sovereign debt market. We construct a data set of sovereign debt holdings by foreign and domestic bank, non-bank private, and official investors for 95 countries over 20 years. Private non-bank investors absorb disproportionately more sovereign debt supply than other investors. Moreover, non-bank investor demand is most responsive to the yield. Counterfactual analysis of emerging market sovereigns shows a 10% increase in debt leads to a 6.7% increase in costs, but an outsize 9% increase if non-bank investors are absent. We conclude that these sovereigns are vulnerable to losing non-bank investors.
Creation-Date: 2023-05
File-URL: https://www.bis.org/publ/work1099.pdf
File-Format: Application/pdf
File-Function: Full PDF document
File-URL: https://www.bis.org/publ/work1099.htm
File-Format: text/html
Number: 1099
Keywords: new borrowing, debt service, financial cycle, financial flows and real effects
Classification-JEL: F34, G11, G15, F41
Handle: RePEc:bis:biswps:1099