Tracking Global Demand for Emerging Market Sovereign Debt

March 5, 2014

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Serkan Arslanalp, and Takahiro Tsuda. Tracking Global Demand for Emerging Market Sovereign Debt, (USA: International Monetary Fund, 2014) accessed December 22, 2024

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

Summary

This paper proposes an approach to track US$1 trillion of emerging market government debt held by foreign investors in local and hard currency, based on a similar approach that was used for advanced economies (Arslanalp and Tsuda, 2012). The estimates are constructed on a quarterly basis from 2004 to mid-2013 and are available along with the paper in an online dataset. We estimate that about half a trillion dollars of foreign flows went into emerging market government debt during 2010–12, mostly coming from foreign asset managers. Foreign central bank holdings have risen as well, but remain concentrated in a few countries: Brazil, China, Indonesia, Poland, Malaysia, Mexico, and South Africa. We also find that foreign investor flows to emerging markets were less differentiated during 2010–12 against the background of near-zero interest rates in advanced economies. The paper extends some of the indicators proposed in our earlier paper to show how the investor base data can be used to assess countries’ sensitivity to external funding shocks and to track foreign investors’ exposures to different markets within a global benchmark portfolio.

Subject: Emerging and frontier financial markets, External debt, Financial institutions, Financial markets, Foreign banks, Government securities, Public debt, Securities markets

Keywords: Africa, Asia and Pacific, Banks vis-à-vis nonbank sector, Caribbean, Debt maturity profile, EM government debt, EM government debt universe, Emerging and frontier financial markets, Financial Crises, Foreign banks, Foreign holding, Global, Government bond, Government debt, Government securities, Holdings maturing, International Finance, Investment Decisions, Investor base, Investor base data, Investor base dataset, Investor holding, Long-term debt, Maturity profile, Portfolio Choice, Position index, Securities markets, Short-term debt, WP

Publication Details

Pages:

51
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 2014/039
Stock No:

WPIEA2014039
ISBN:

9781484326541
ISSN:

1018-5941

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