Tracking Global Demand for Emerging Market Sovereign Debt / Serkan Arslanalp, Takahiro Tsuda.

Format:

Book

Government document

Author/Creator:

Arslanalp, Serkan.

Contributor:

Tsuda, Takahiro.

Series:

IMF Working Papers; Working Paper ; No. 2014/039

IMF Working Papers

Language:

English

Subjects (All):

Debts, Public--Developing countries--Econometric models.

Debts, Public.

Fiscal policy--Developing countries--Econometric models.

Fiscal policy.

Local finance--United States.

Local finance.

Developing countries--Politics and government.

Developing countries.

Physical Description:

1 online resource (52 p.)

Place of Publication:

Washington, D.C. : International Monetary Fund, 2014.

Language Note:

English

Summary:

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.

Contents:

Cover; Contents; I. Introduction; II. Motivation; III. Sovereign Investor Base Estimates; A. Overview; Tables; 1. Sample of Countries; Figures; 1. Emerging Market Government Debt Universe, end-2012; 2. Summary of Data Sources; 2. Summary of Methodology; 3. Emerging Markets: Holders of Government Debt, end-2012; 3. Selected Emerging Markets: Construction of General Government Gross Debt, end-2012; B. Estimation Methodology for Each Investor Type; 4. Valuation of Debt Securities in Quarterly External Debt Statistics (QEDS); C. Robustness Checks and Adjustments; D. Limitations and Extensions

4. Foreign Holdings of Government Debt by Country of Origin, 2004-12IV. Key Trends In the EM Sovereign Debt Investor Base; A. Foreign Investors of EM Sovereign Debt; 5. Emerging Markets: Foreign Investors as an Investor Class, 2004-12; 6. Advanced Economies and Emerging Markets: Foreign Share, 2004-12; 7. Emerging Markets: Sovereign Credit Ratings, 2004-12; 8. Emerging Markets: Net Foreign Purchases and Sales, 2006-12; 9. Foreign Share in EM Government Debt by Country, 2004-12; 10. Foreign Share in EM Government Debt by Region, 2004-12

11. Cumulative Net Foreign Purchases of EM Government Debt, 2010-12B. Domestic Bank Holdings of Sovereign Debt; 12. Bank Holdings of Own Government Debt by Region, 2004-12; 13. Bank Holdings of Own Government Debt by Country, 2007-12; V. Sovereign Funding Shock Scenarios (FSS); 14. Emerging Markets: Sovereign Funding Shock Scenarios; 15. Emerging Markets: Government Bond Yields After Tapering Discussions; VI. Foreign Investor Position Index (FIPI); 16. Emerging Markets: Foreign Investor Position Index, end-June 2013; VII. Conclusion; Annex Figures

1. Emerging Markets: Holders of Government Debt, 2004-13Q22. Foreign Holdings of Local-Currency Government Debt, 2004-13Q2; 3. Cumulative Foreign Flows into Emering Market Government Debt, since end-2007; References

Notes:

Description based upon print version of record.

Includes bibliographical references.

Description based on online resource; title from PDF title page (ebrary, viewed April 19, 2014).

ISBN:

9781475514407

1475514409

9781484327098

1484327098

9781484327203

1484327209