Tracking global demand for advanced economy sovereign debt [[electronic resource] /] / prepared by Serkan Arslanalp and Takahiro Tsuda

• Autore: Arslanalp Serkam <1976->
• Pubblicazione: Washington, D.C., : International Monetary Fund, c2012
• Descrizione fisica: 1 online resource (63 p.)
• Soggetto topico: Debts, Public - Developed countries; Finance, Public - Developed countries
• Soggetto genere / forma: Electronic books.
• Altri autori: TsudaTakahiro
• Note generali: Description based upon print version of record.
• Nota di bibliografia: Includes bibliographical references.
• Nota di contenuto: Cover; Contents; Executive Summary; I. Introduction; II. Motivation; III. Methodology for Sovereign Investor Base Estimates; A. Overview; Tables; 1. Sample of Countries; 2. Summary of Data Sources; Figures; 1. Summary of Methodology; 3. Construction of General Government Gross Debt on a Consolidated Basis for Non-European Countries, end-2011; 2. Advanced Economies: Holders of Government Debt, end-2011; 4. Valuation of Debt Securities in Various Databases; B. Estimation Methodology for Each Investor Type; 5. Estimation of Foreign Central Bank Holdings of Government Debt, end-2011 ; C. Robustness Checks and AdjustmentsD. Limitations and Extensions; IV. Key Trends in The Post-Crisis Period; 3. Foreign Holdings of Government Debt by Country of Origin, 2004-11; A. How Did Foreign Demand Change?; 4. Advanced Economies: Foreign Investors as an Investor Class, 2004-11; Boxes; 1. Country Groups; 5. Advanced Economies: Foreign Share in Government Debt Stock, 2004-11; 6. Advanced Economies: Foreign Net Purchases and Sales of Government Debt, 2008-11; 7. Euro and Non-Euro Area: Foreign Holders of Government Debt; 8. Advanced Economies: Changes in Sovereign Credit Ratings, 2004-11 ; B. How Did Foreign Demand Change by Investor Type?9. Euro and Non-Euro Area Countries: Foreign Net Purchases of Government Debt; 10. Advanced Economies: Country Allocation of Foreign Investors, 2004-11; 11. Advanced Economies: Cumulative Net Foreign Purchases of Government Debt; 12. Advanced Economies: Foreign Investors' Portfolio Reallocation in 2011; C. How Did Domestic Investors React to Falls in Foreign Demand?; 13. Foreign Investors Position and Sovereign Downgrades, 2004-11; D. How Did Domestic Bank Demand Change More Generally? ; 14. Advanced Economies: Bank Holdings of Own Government Debt, 2004-1115. Euro and Non-Euro Area: Bank Holdings of Own Government Debt, 2008-11; 16. Euro Area: Bank Holdings of Own Government Debt Securities, 2007-11; V. Sovereign Investor Base Risk Indicators; A. Sovereign Funding Shock Scenarios; 2: Methodology of Sovereign Funding Shock Scenarios; 17. Advanced Economies: Sovereign Funding Shock Scenarios; B. Investor Base Risk Index; 6. Risk Scores by Investor Type; 18. Advanced Economies: Investor Base Risk Index, 2008-11; 19. A Stylized Framework for Sovereign Risk Analysis ; 20. Advanced Economies: Application of Investor Base Risk Index, end-2009C. Foreign Investor Position Index; 21. Advanced Economies: Foreign Investor Position Index (FIPI), end-2011; VI. Conclusion; Annex Figures; 1. Advanced Economies: Holders of Government Debt, 2004-11; 2. Advanced Economies: Cumulative Purchases of Government Debt, since end-2007; References
• Sommario/riassunto: 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 US42 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
• Titolo autorizzato: Tracking global demand for advanced economy sovereign debt
• ISBN: 1-4755-2422-6; 1-4755-9322-8
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Lingua di pubblicazione: Inglese
• Record Nr.: 9910452742703321
• Lo trovi qui: Univ. Federico II
• Serie: IMF Working Papers