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Who holds sovereign debt and why it matters

Xiang Fang, Bryan Hardy and Karen Lewis

No 1099, BIS Working Papers from Bank for International Settlements

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.

Keywords: new borrowing; debt service; financial cycle; financial flows and real effects (search for similar items in EconPapers)
JEL-codes: F34 F41 G11 G15 (search for similar items in EconPapers)
Date: 2023-05
New Economics Papers: this item is included in nep-ban, nep-des, nep-ifn and nep-opm
References: Add references at CitEc
Citations: View citations in EconPapers (7)

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Related works:
Working Paper: Who Holds Sovereign Debt and Why It Matters (2022) Downloads
Working Paper: Who Holds Sovereign Debt and Why It Matters (2022) Downloads
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