2020-04-202020-04-202020-04-20https://repositorio.redinvestigadores.org/handle/Riec/58We evaluate the effects of the sovereign debt structure by examining various degrees of bond market participation and diversification within different bond maturities and investor type. We use a unique Colombian panel dataset, comprised of all government bond maturities in the hands of public and private institutions during 2006-2018. For identification, we propose an instrumental variable approach, specific to each investor group. We find that an increase in non-residents' market share of a 1 percentage point reduces bond yields by 35% and lowers volatility by 0.8%, relative to their mean values. Alternatively, we see an opposite effect for both pension funds and the banking sector. Finally, we find that market concentration makes local-currency yields more sensitive to global financial shocks.25 páginasPDFengOpen AccessWorking paperE43 - Interest Rates: Determination, Term Structure, and EffectsG01 - Financial CrisesG11 - Portfolio Choice; Investment DecisionsG15 - International Financial MarketsTerm structureBond market participationBond market concentrationBond holdingsDeuda pública -- Colombia -- 2006-2018Rendimientos de tasa de interés -- Colombia -- 2006-2018Estudio de participación y concentración de TES -- Colombia -- 2006-2018Acceso abiertoAtribucion-NoComercial-CompartirIgual CC BY-NC-SA 4.0