Who Holds Sovereign Debt and Why It Matters

• 成果类型: Article
• 署名作者: Fang, Xiang; Hardy, Bryan; Lewis, Karen K.
• 署名单位: University of Hong Kong; Bank for International Settlements (BIS); University of Pennsylvania; National Bureau of Economic Research; Centre for Economic Policy Research - UK
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhaf031
• 发表日期: 2025
• 页码: 2326
• 关键词: International reserves; default; demand; banks

摘要

This paper studies whether investor composition affects the sovereign debt market. We construct a data set of sovereign debt holdings by foreign and domestic bank, nonbank private and official investors for 101 countries across three decades. Compared with other investors, private nonbank investors absorb a disproportionate share of the debt supply, and their demand for emerging market debt is most price responsive. A counterfactual analysis of emerging market sovereigns shows a 10% increase in debt leads to a 5.8% yield increase but an outsized 8.4% increase without nonbank investors. We conclude that sovereigns are vulnerable to the loss of nonbanks.