Who Holds Sovereign Debt and Why It Matters

Xiang Fang, Bryan Hardy and Karen Lewis

No 30087, NBER Working Papers from National Bureau of Economic Research, Inc

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 101 countries across three decades. Private non-bank investors absorb disproportionately more debt supply than others. Moreover, non-bank investors’ demand for emerging market debt is most responsive to its price. Counterfactual analysis of emerging market sovereigns shows a 10% increase in debt leads to a 5.8% yield increase, but an out-sized 8.4% increase without non-bank investors. We conclude that sovereigns are vulnerable to the loss of non-bank investors.

JEL-codes: F34 F41 G11 G15 (search for similar items in EconPapers)
Date: 2022-05
New Economics Papers: this item is included in nep-ban, nep-dem, nep-fdg, nep-ifn and nep-opm
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Related works:
Working Paper: Who holds sovereign debt and why it matters (2023)
Working Paper: Who Holds Sovereign Debt and Why It Matters (2022)
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