Too much in one basket? debt concentration and sovereign yields

Afonso, António; Alves, José; Grabowski, Wojciech; Monteiro, Sofia

http://hdl.handle.net/10400.5/102034

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Resumo(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.

Palavras-chave

Sovereign debt concentration Yields Gini coefficient Skewness Panel Cointegration OECD

URI

http://hdl.handle.net/10400.5/102034

Citação

Afonso, António … [et al.] (2025). “Too much in one basket? debt concentration and sovereign yields”. REM Working paper series, nº 0381/2025

Editora

REM – (Research in Economics and Mathematics)

Coleções

REM - REM Working Papers Series

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