{
  "title": "Tracking Global Demand for Advanced Economy Sovereign Debt",
  "publication": "IMF Working Papers, December 3, 2012",
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  "summary": "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.",
  "sections": [
    {
      "heading": "Summary",
      "content": "- Recent events demonstrate sovereigns, like banks, can be subject to runs, underscoring the importance of the investor base for sovereign liabilities.\n- The paper proposes a methodology for compiling internationally comparable estimates of investor holdings of sovereign debt.\n- Based on this methodology, the paper introduces a dataset for 24 major advanced economies covering US$42 trillion of sovereign debt holdings on a quarterly basis over 2004-11.\n- The paper proposes a framework—sovereign funding shock scenarios (FSS)—for forward-looking analysis of sovereign vulnerability to sudden investor outflows, to be used alongside standard debt sustainability analyses (DSA).\n- Two risk indices are introduced to assess vulnerability to shifts in investor behavior: investor base risk index (IRI) and foreign investor position index (FIPI)."
    },
    {
      "heading": "Dataset and methodology",
      "content": "- Coverage: 24 major advanced economies.\n- Scope: Tracks US$42 trillion of sovereign debt holdings.\n- Frequency and period: Quarterly data over 2004-11.\n- Purpose: Produce internationally comparable estimates of investor holdings of sovereign debt to inform analysis of funding risk and investor behavior."
    },
    {
      "heading": "Key findings",
      "content": "- Despite high-profile outflows from euro periphery countries, most sovereign borrowers increased reliance on foreign investors.\n- Increased reliance on foreign investors may have helped reduce borrowing costs but can imply higher refinancing risks going forward.\n- Advanced economy banks’ exposure to their own government debt began to increase across the board after the global financial crisis, strengthening sovereign-bank linkages."
    },
    {
      "heading": "Risks, indices, and analytical tools",
      "content": "- Sovereign funding shock scenarios (FSS): A proposed framework to conduct forward-looking analysis of sovereigns’ vulnerability to sudden investor outflows; intended for use in conjunction with DSAs.\n- Investor base risk index (IRI): Introduced to assess sovereign vulnerability related to the investor base.\n- Foreign investor position index (FIPI): Introduced to assess sovereign vulnerability related to foreign investor holdings."
    },
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      "heading": "Implications and policy relevance",
      "content": "- Monitoring investor base composition and foreign investor positions is critical for assessing sovereign refinancing and rollover risks.\n- Analyses of sovereign vulnerability should incorporate forward-looking funding shock scenarios (FSS) and the proposed risk indices (IRI and FIPI) alongside traditional DSA frameworks.\n\n---\n\n Content in this bundle\n\n- PDP-Working Paper\n  - PDP-Working Paper (Markdown version){rel=\"alternate\" type=\"text/markdown\"}\n  - PDP-Working Paper (PDF){rel=\"external\" type=\"application/pdf\"}\n\n---\n\nSource: https://www.imf.org/en/publications/wp/issues/2016/12/31/tracking-global-demand-for-advanced-economy-sovereign-debt-40135"
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    "Authors: Serkan Arslanalp, Takahiro Tsuda",
    "Published: December 3, 2012",
    "Series: IMF Working Papers",
    "DOI: https://doi.org/10.5089/9781475596403.001",
    "Recent events demonstrate sovereigns, like banks, can be subject to runs, underscoring the importance of the investor base for sovereign liabilities.",
    "The paper proposes a methodology for compiling internationally comparable estimates of investor holdings of sovereign debt.",
    "Based on this methodology, the paper introduces a dataset for 24 major advanced economies covering US$42 trillion of sovereign debt holdings on a quarterly basis over 2004-11.",
    "The paper proposes a framework—sovereign funding shock scenarios (FSS)—for forward-looking analysis of sovereign vulnerability to sudden investor outflows, to be used alongside standard debt sustainability analyses (DSA).",
    "Two risk indices are introduced to assess vulnerability to shifts in investor behavior: investor base risk index (IRI) and foreign investor position index (FIPI).",
    "Coverage: 24 major advanced economies.",
    "Scope: Tracks US$42 trillion of sovereign debt holdings.",
    "Frequency and period: Quarterly data over 2004-11.",
    "Purpose: Produce internationally comparable estimates of investor holdings of sovereign debt to inform analysis of funding risk and investor behavior.",
    "Despite high-profile outflows from euro periphery countries, most sovereign borrowers increased reliance on foreign investors.",
    "Increased reliance on foreign investors may have helped reduce borrowing costs but can imply higher refinancing risks going forward.",
    "Advanced economy banks’ exposure to their own government debt began to increase across the board after the global financial crisis, strengthening sovereign-bank linkages.",
    "Sovereign funding shock scenarios (FSS): A proposed framework to conduct forward-looking analysis of sovereigns’ vulnerability to sudden investor outflows; intended for use in conjunction with DSAs.",
    "Investor base risk index (IRI): Introduced to assess sovereign vulnerability related to the investor base.",
    "Foreign investor position index (FIPI): Introduced to assess sovereign vulnerability related to foreign investor holdings.",
    "Monitoring investor base composition and foreign investor positions is critical for assessing sovereign refinancing and rollover risks.",
    "Analyses of sovereign vulnerability should incorporate forward-looking funding shock scenarios (FSS) and the proposed risk indices (IRI and FIPI) alongside traditional DSA frameworks.",
    "**PDP-Working Paper**"
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