Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/282380 
Year of Publication: 
2023
Series/Report no.: 
CESifo Working Paper No. 10692
Publisher: 
Center for Economic Studies and ifo Institute (CESifo), Munich
Abstract: 
We analyze domestic, foreign, and central banks holdings of public debt for 31 countries for the period of 1989-2022, applying panel regressions and quantile analysis. We conclude that an increase in sovereign risk raises the share of domestic banks' portfolio of public debt and reduces the percentage holdings in the case of central banks. Better sovereign ratings also increase (decrease) the share of commercial (central) banks' holdings. Furthermore, the effects of an increment in the risk for domestic investors have increased since the 2010 financial crisis.
Subjects: 
banking
sovereign debt
sovereign risk
financial crisis
ratings
JEL: 
C21
E58
G24
G32
H63
Document Type: 
Working Paper
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