Tracking Global Demand for Emerging Market Sovereign Debt

Serkan Arslanalp and Takahiro Tsuda

No 2014/039, IMF Working Papers from International Monetary Fund

Abstract: This paper proposes an approach to track US$1 trillion of emerging market government debt held by foreign investors in local and hard currency, based on a similar approach that was used for advanced economies (Arslanalp and Tsuda, 2012). The estimates are constructed on a quarterly basis from 2004 to mid-2013 and are available along with the paper in an online dataset. We estimate that about half a trillion dollars of foreign flows went into emerging market government debt during 2010–12, mostly coming from foreign asset managers. Foreign central bank holdings have risen as well, but remain concentrated in a few countries: Brazil, China, Indonesia, Poland, Malaysia, Mexico, and South Africa. We also find that foreign investor flows to emerging markets were less differentiated during 2010–12 against the background of near-zero interest rates in advanced economies. The paper extends some of the indicators proposed in our earlier paper to show how the investor base data can be used to assess countries’ sensitivity to external funding shocks and to track foreign investors’ exposures to different markets within a global benchmark portfolio.

Keywords: WP; government debt; investor holding; government bond; long-term debt; International Finance; Financial Crises; Portfolio Choice; Investment Decisions; investor base; holdings maturing; debt maturity profile; maturity profile; short-term debt; foreign holding; banks vis-à-vis nonbank sector; EM government debt; EM government debt universe; investor base dataset; Foreign banks; Securities markets; Emerging and frontier financial markets; Government securities; Global; Africa; Asia and Pacific; investor base data; position index; Caribbean (search for similar items in EconPapers)
Pages: 51
Date: 2014-03-05
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Citations: View citations in EconPapers (117)

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