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Advisor(s)
Abstract(s)
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.
Description
Keywords
Sovereign debt concentration Yields Gini coefficient Skewness Panel Cointegration OECD
Pedagogical Context
Citation
Afonso, António … [et al.] (2025). “Too much in one basket? debt concentration and sovereign yields”. REM Working paper series, nº 0381/2025
Publisher
REM – (Research in Economics and Mathematics)