Who Holds Sovereign Debt and Why It Matters / Xiang Fang, Bryan Hardy, Karen K. Lewis.

Format:

Book

Author/Creator:

Fang, Xiang.

Contributor:

National Bureau of Economic Research.

Hardy, Bryan.

Lewis, Karen K.

Series:

Working Paper Series (National Bureau of Economic Research) no. w30087.

NBER working paper series no. w30087

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2022.

Summary:

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 twenty 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 out-sized 9% increase if non-bank investors are absent. We conclude that these sovereigns are vulnerable to losing non-bank investors.

Notes:

Print version record

May 2022.