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1、WhoHo1dsSovereignDebtandWhyItMattersWethankMariaGe1rud,SophiaHua,andMaxYangforexce11entresearchassistance.Wea1sobenefitedfromcommentsbyKar1yeDi1tsStedman,EsterFaiazGregorMatvosandparticipantsattheBankofInternationa1Sett1ements,BanquedeFrance,ChinaInternationa1FinanceConference,EconometricSocietyNort
2、hAmericanWinterMeeting,Federa1ReSerVeBoard,Federa1ReserveBankofDa11as,HongKongUniversity,INSEADz1ondonBusinessSchoo1,1ondonSchoo1ofEconomics,theMacroFinanceSociety,DebtCon5,EEA-ESSMCongress,theMidwestFinanceAssociation,theNationa1BureauofEconomicResearch,SocietyofEconomicDynamicszandtheWhartonSch1of
3、theUniversityofPennsy1vania.Anyerrorsoromissionsareourown.Theviewsexpressedherearethoseoftheauthorsandnotnecessari1ythoseoftheBankforInternationa1Sett1ements.Contact:xiangfhku.hk,bryan.hardybis.org,1ewiskwharton.upenn.eduXiangFangBryanHardyUniversityofHongKongBankforInternationa1Sett1ementsKarenK.1e
4、wisUniversityofPennsy1vania,NBER,andCEPRApri124,2023AbstractThispaperstudiestheimpactofinvestorcompositiononthesovereigndebtmarket.Weconstructadatasetofsovereigndebtho1dingsbyforeignanddomesticbankznon-bankprivate,andofficia1investorsfor95countriesovertwentyyears.Privatenon-bankinvestorsabsorbdispro
5、portionate1ymoresovereigndebtsupp1ythanotherinvestors.Moreover,non-bankinvestordemandismostresponsivetotheyie1d.Counterfactua1ana1ysisofemergingmarketsovereignsshowsa10%increaseindebt1eadstoa6.7%increaseincosts,butanout-sized9%increaseifnon-bankinvestorsareabsent.Weconc1udethatthesesovereignsarevu1n
6、erab1eto1osingnon-bankinvestors.JE1-Codes:F34,GI1G15,F41Keywords:Sovereigndebt,BanksandNon-bankszAdvancedEconomiesandEmergingMarkets1IntroductionTheabi1itytoissuedebtisanimportantinstrumentatthegovernmentsdisposa1.Sovereignborrowingcanhe1pbuffertheeconomyfromtheimpactofadversemacroeconomicshocks.Con
7、verse1y,indebtednesscana1somakeacountryvu1nerab1etofinancia1distress,ascrisisepisodeshavei11ustrated.Indeed,thesharpincreaseinfisca1expendituresanddebtissuanceduringtherecentpandemicperiod,aswe11asconcernsfromthefa11outofwar,hasbroughtmoreurgencytounderstandinghowagovernmentcanborrow.Answeringthisqu
8、estionrequiresknow1edgeofwhoinvestsinsovereigndebtandhowtheseinvestorsimpactborrowingcosts.Therefore,thispaperprovidesanana1ysisofwhoho1dssovereigndebtandwhatthisinvestorcompositionimp1iesforgovernments,borrowingcosts.Webeginbydocumentingwhoho1dsgovernmentdebtaroundthewor1dandestab1ishingsomenewempi
9、rica1regu1arities.Forthispurpose,wefirstassemb1eadatasetthatdistinguishestheho1dersofeachcountry,ssovereigndebtintoinvestorgroupsthathavebeenhigh1ightedinthe1iterature.Thatis,wedisaggregatedebthe1dbyforeignanddomesticinvestorsandintothreesubgroupswithinthosecategories:privatebanks,otherprivateinvest
10、orsthatweterm,non-banks,zandofficia1creditorsconsisting1arge1yofcentra1banksandinternationa1organizations1iketheWor1dBank.1Assemb1ingthesedataseriesprovides1744country-yearobservationsforwhichwecandecomposetheho1dersofdebt,spanning95countriesover1991-2018.Thisdecompositionfo11owsthatofArs1ana1pandTs
11、uda(2012)andArs1ana1pandTsuda(2014).Apartia1decompositionisavai1ab1efor151countries.Figure1showsboththegrowingimportanceofgovernmentdebtaswe11ashowtheinvestorbasevariesinourdataset.Specifica11y,Pane1(a)showsthataggregategovernmentdebtasaproportionofGDPhasincreasedtothehighest1eve1sinrecenthistory,sp
12、urredonbytheCovid-19pandemicforbothforadvancedandemergingeconomies.Furthermore,thecompositionofinvestorshareshaschangedovertime.Forexamp1e,asPane1(b)shows,theshareofdomesticversusforeigninvestorshasevo1vedwithmarkeddifferencesbetweenadvancedeconomies(AEs)andemergingmarkets(EMs).Theshareofaggregatede
13、btho1dingsbydomesticinvestorshasdecreasedforAEswhi1ethatsamesharehasincreasedforEMs.Theshareofdebthe1dbynon-bankprivateinvestors,showninPane1(c)zshowsmoreshort-termf1uctuations.AE-EMDCAE(exc1US)-US-EM(ec1CN)-CN(a)Debt/GDP(b)ShareHe1dDomestica11y(c)ShareHe1dbyNon-banksNote:Pane1(a)ofthisfigurep1otsth
14、etime-seriesofgenera1governmentdebt-to-GDPratiofortheadvancedeconomies,emergingmarketanddeve1opingcountriesfromIMFWEO.Pane1(b)p1otstheshareofgenera1governmentdebthe1dbydomesticinvestorsbycountrygroup.Pane1(c)p1otstheshareOfgenera1governmentdebthe1dbynon-banks.Pane1s(b)and(c)consistofba1ancedsamp1esO
15、f15AEsinc1udingtheUSand15EMSinc1udingChina(CN).Inthispaper,weusethesedatatodocumenthowincreasesinsovereigndebtareabsorbedbythesixdifferentinvestorgroups(foreignvsdomesticandbankvsnon-bankvsofficia1).Striking1y,wefindthatnon-bankprivateinvestorsincreasetheirho1dingsofsovereigndebtatsignificant1yhighe
16、rratesthananyothergroup,inc1udingprivatebanks.Furthermore,thisabsorptionrateisgreaterthanproportiona1totheiraverageho1dings.Acrossa11countriesforinstance,whenthereisanincreaseindebt,69%oftheincreaseisa11ocatedtonon-bankinvestors,eventhoughtheymakeupon1y46%ofho1dingsonaverage.Moreover,forincreasesinforeign-he1ddebt,75%oftheincreaseisduetonon-bankinvestors,eventhoughtheycompriseon1y42%ofa11foreignho1dings.Bycontrast,banksabsorb1
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