TY - BOOK ID - 11265737 TI - Tracking global demand for advanced economy sovereign debt AU - Arslanalp, Serkam AU - Tsuda, Takahiro AU - International Monetary Fund. PY - 2012 SN - 1475521065 1475596405 1475524226 1475593228 9781475521061 9781475596403 9781475524222 9781475593228 PB - [Washington, D.C.] International Monetary Fund DB - UniCat KW - Political Science KW - Law, Politics & Government KW - Public Finance KW - Debts, Public KW - Finance, Public KW - Cameralistics KW - Public finance KW - Debts, Government KW - Government debts KW - National debts KW - Public debt KW - Public debts KW - Sovereign debt KW - Currency question KW - Debt KW - Bonds KW - Deficit financing KW - E-books KW - Public finances KW - Banks and Banking KW - Investments: General KW - Financial Crises KW - Portfolio Choice KW - Investment Decisions KW - Debt Management KW - Sovereign Debt KW - Banks KW - Depository Institutions KW - Micro Finance Institutions KW - Mortgages KW - General Financial Markets: General (includes Measurement and Data) KW - Public finance & taxation KW - Banking KW - Investment & securities KW - Foreign banks KW - Government debt management KW - Government securities KW - Financial institutions KW - Public financial management (PFM) KW - Securities KW - Banks and banking, Foreign KW - Banks and banking KW - Financial instruments KW - United States UR - https://www.unicat.be/uniCat?func=search&query=sysid:11265737 AB - 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 US$42 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 reliance on foreign investors. This may have helped reduce borrowing costs, but it can imply higher refinancing risks going forward. Meanwhile, advanced economy banks’ exposure to their own government debt has begun to increase across the board after the global financial crisis, strengthening sovereign-bank linkages. In light of these risks, the paper proposes a framework—sovereign funding shock scenarios (FSS)—to conduct forward-looking analysis to assess sovereigns’ vulnerability to sudden investor outflows, which can be used along with standard debt sustainability analyses (DSA).  It also introduces two risk indices—investor base risk index (IRI) and foreign investor position index (FIPI)—to assess sovereigns’ vulnerability to shifts in investor behavior. ER -