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Author/Editor:
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Andritzky, Jochen R.
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Publication Date:
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June 01, 2012
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Electronic Access:
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Free Full text
(PDF file size is 1,192KB).
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Disclaimer: This Working Paper should not be reported as representing the views of the IMF.
The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate
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Summary:
This paper introduces a new dataset on the composition of the investor base for government securities in the G20 advanced economies and the euro area. During the last decades, investors from abroad have increased their presence in government bond markets. The financial crisis broke this trend. Domestic financial institutions allocated a larger share of government securities in their portfolios, as Japan has done since its crisis in the 1990s. Increases in the share held by institutional investors or non-residents by 10 percentage points are associated with a reduction in yields by about 25 or 40 basis points, respectively. The data show a varied lead-lag relationship between bond yields and investor holdings. Portfolio balance estimates suggest that a change in statutory or regulatory holdings of government securities to the tune of 10 percent of the outstanding stock causes expected returns to decline by 7 to 25 basis points.
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Order a print copy
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Series:
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Working Paper No. 12/158
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Subject(s):
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Bond markets | Developed countries | Euro Area | Group of Twenty | Investment
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Author's Keyword(s):
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Public debt | government bonds | investor base | advanced market economies |
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English
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Publication Date:
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June 01, 2012
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Format:
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Paper
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Stock No:
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WPIEA2012158
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Pages:
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29
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Price:
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US$18.00 )
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Please address any questions about this title to
publications@imf.org
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