Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/302720 
Erscheinungsjahr: 
2024
Schriftenreihe/Nr.: 
CESifo Working Paper No. 11235
Verlag: 
CESifo GmbH, Munich
Zusammenfassung: 
Recognizing the profound influence of geopolitical risks and world uncertainty on financial investment behaviour, this study uses a comprehensive approach to assess the impact of rising geopolitical risk on sovereign debt holdings for a panel of 24 OECD economies from Q1 2004 to Q4 2023. To do so, we employ Ordinary Least Squares (OLS) fixed effects and Quantile Regression techniques within a panel data framework to capture the nuanced effects on both domestic and foreign entities. We find that escalating geopolitical tension decreases government debt holdings among domestic entities, notably domestic Banks, while foreign investors increase their ownership. This phenomenon is more pronounced for high proportion levels of debt in investor's portfolios. Our results allow us to conclude that while domestic economic agents display clearer risk aversion, foreign economic agents have a more risk-taking behaviour in what concerns the financial investment on government debt.
Schlagwörter: 
sovereign debt
geopolitical risk
world uncertainty
OLS
quantile regression
JEL: 
C23
E44
G32
H63
Dokumentart: 
Working Paper
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