IDEAS home Printed from https://ideas.repec.org/p/ces/ceswps/_11961.html
   My bibliography  Save this paper

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
    as

    Download full text from publisher

    File URL: https://www.ifo.de/DocDL/cesifo1_wp11961.pdf
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    dsovereign debt concentration; yields; Gini coefficient; skewness; Panel Cointegration; OECD;
    All these keywords.

    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

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ces:ceswps:_11961. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Klaus Wohlrabe (email available below). General contact details of provider: https://edirc.repec.org/data/cesifde.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.