Tracking Global Demand for Emerging Market Sovereign Debt

WPIEA2014039 Image
Price:  $18.00

Author/Editor: Serkan Arslanalp, Takahiro Tsuda
Release Date: © March, 2014
ISBN : 978-1-48432-654-1
Stock #: WPIEA2014039
Stock Status: On back-order

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

More publications in this series: Working Papers

More publications by: Serkan Arslanalp ; Takahiro Tsuda