Tracking Global Demand for Advanced Economy Sovereign Debt

Abstract

This paper proposes a methodology for compiling internationally comparable estimates of investor holdings of sovereign debt. Based on this methodology, it introduces a data set for 24 major advanced economies that tracks sovereign debt holdings on a quarterly basis over 2004–11. The increased reliance on foreign investors by most sovereign borrowers may have helped reduce their borrowing costs, but it can imply higher future refinancing risks. Meanwhile, advanced economy banks’ exposure to their own government debt has begun to increase after the global financial crisis, strengthening sovereign-bank linkages.