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Too much in one basket? debt concentration and sovereign yields

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Resumo:We examine the effects of debt distribution characteristics, specifically skewness and maturity concentration, on sovereign yields across OECD countries over the period 1995Q1 to 2020Q4. After computing specific Lorenz curves and Gini coefficients, we find that positive skewness generally exerts a dominant influence. Employing Panel Cointegration Techniques, we show that greater skewness is associated with higher sovereign bond yields and higher short-term interest rates, whether measured in face or market value. In contrast, an increase in debt concentration tends to reduce both sovereign bond yields and short-term interest rates.
Autores principais:Afonso, António
Outros Autores:Alves, José; Grabowski, Wojciech; Monteiro, Sofia
Assunto:Sovereign debt concentration Yields Gini coefficient Skewness Panel Cointegration OECD
Ano:2025
País:Portugal
Tipo de documento:working paper
Tipo de acesso:acesso aberto
Instituição associada:Universidade de Lisboa
Idioma:inglês
Origem:Repositório da Universidade de Lisboa

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