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Tracking global demand for advanced economy sovereign debt /
Recent events have shown that sovereigns, just like banks, can be subject to runs, highlighting the importance of the investor base for their liabilities. This paper proposes a methodology for compiling internationally comparable estimates of investor holdings of sovereign debt. Based on this method...
| Clasificación: | Libro Electrónico |
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| Autor principal: | |
| Autor Corporativo: | |
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| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
[Washington, D.C.] :
International Monetary Fund,
©2012.
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| Colección: | IMF working paper ;
WP/12/284. |
| Temas: | |
| Acceso en línea: | Texto completo |
| Sumario: | Recent events have shown that sovereigns, just like banks, can be subject to runs, highlighting the importance of the investor base for their liabilities. This paper proposes a methodology for compiling internationally comparable estimates of investor holdings of sovereign debt. Based on this methodology, it introduces a dataset for 24 major advanced economies that can be used to track US$42 trillion of sovereign debt holdings on a quarterly basis over 2004-11. While recent outflows from euro periphery countries have received wide attention, most sovereign borrowers have continued to increase reliance on foreign investors. This may have helped reduce borrowing costs, but it can imply higher refinancing risks going forward. Meanwhile, advanced economy banks' exposure to their own government debt has begun to increase across the board after the global financial crisis, strengthening sovereign-bank linkages. In light of these risks, the paper proposes a framework--sovereign funding shock scenarios (FSS)--to conduct forward-looking analysis to assess sovereigns' vulnerability to sudden investor outflows, which can be used along with standard debt sustainability analyses (DSA). It also introduces two risk indices--investor base risk index (IRI) and foreign investor position index (FIPI)--to assess sovereigns' vulnerability to shifts in investor behavior. |
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| Notas: | Title from PDF title page (IMF Web site, viewed Dec. 6, 2012). "Monetary and Capital Markets Department." "December 2012." |
| Descripción Física: | 1 online resource (62 pages) |
| Bibliografía: | Includes bibliographical references. |
| ISBN: | 9781475521061 1475521065 1475524226 9781475524222 1475593228 9781475593228 |