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Too Much in One Basket? Debt Concentration and Sovereign Yields

Author

Listed:
  • António Afonso
  • José Alves
  • Wojciech Grabowski
  • Sofia Monteiro

Abstract

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.

Suggested Citation

  • António Afonso & José Alves & Wojciech Grabowski & Sofia Monteiro, 2025. "Too Much in One Basket? Debt Concentration and Sovereign Yields," CESifo Working Paper Series 11961, CESifo.
    • Handle: RePEc:ces:ceswps:_11961
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    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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