Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/322523 
Year of Publication: 
2025
Series/Report no.: 
CESifo Working Paper No. 11961
Publisher: 
CESifo GmbH, Munich
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.
Subjects: 
dsovereign debt concentration
yields
Gini coefficient
skewness
Panel Cointegration
OECD
JEL: 
C23
C58
G15
E44
Document Type: 
Working Paper
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