Too Much in One Basket? Debt Concentration and Sovereign Yields

Antonio Afonso, José Alves, Wojciech Grabowski and Sofia Monteiro

No 2025/0381, Working Papers REM from ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa

Abstract: We examine the effects of debt distribution characteristics, specifically skewness and maturity concentration, on sovereign yields across OECD countries over the period 1995Q1 to 2020Q4. After computing specific Lorenz curves and Gini coefficients, we find that positive skewness generally exerts a dominant influence. Employing Panel Cointegration Techniques, we show that greater skewness is associated with higher sovereign bond yields and higher short-term interest rates, whether measured in face or market value. In contrast, an increase in debt concentration tends to reduce both sovereign bond yields and short-term interest rates.

Keywords: sovereign debt concentration; yields; Gini coefficient; skewness; Panel Cointegration; OECD. (search for similar items in EconPapers)
JEL-codes: C23 C58 E44 G15 (search for similar items in EconPapers)
Date: 2025-06
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Working Paper: Too Much in One Basket? Debt Concentration and Sovereign Yields (2025)
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