Post-graduation from the original sin problem The effects of market participation on sovereign debt markets
| dc.audience | Researchers | eng |
| dc.audience | Students | eng |
| dc.audience | Teachers | eng |
| dc.contributor.institucion | Banco de la República - Colombia | spa |
| dc.coverage.ciudad | Bogotá | spa |
| dc.creator | Ocampo, José Antonio | spa |
| dc.creator | Orbegozo, German D. | spa |
| dc.creator | Villamizar-Villegas, Mauricio | spa |
| dc.date.accessioned | 2020-04-20T16:46:10Z | spa |
| dc.date.available | 2020-04-20T16:46:10Z | spa |
| dc.date.created | 2020-04-20 | spa |
| dc.description.abstract | We 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. | eng |
| dc.format.extent | 25 páginas | spa |
| dc.format.mimetype | spa | |
| dc.identifier.uri | https://repositorio.redinvestigadores.org/handle/Riec/58 | spa |
| dc.language.iso | eng | eng |
| dc.relation.ispartof | Documentos de Trabajo | spa |
| dc.relation.number | No. 39 | spa |
| dc.relation.repec | https://ideas.repec.org/p/rie/riecdt/39.html | |
| dc.relation.uri | http://repositorio.banrep.gov.co/bitstream/handle/20.500.12134/9835/be_1113.pdf?sequence=1&isAllowed=y | spa |
| dc.rights.accessRights | Open Access | eng |
| dc.rights.cc | Atribucion-NoComercial-CompartirIgual CC BY-NC-SA 4.0 | spa |
| dc.rights.spa | Acceso abierto | spa |
| dc.rights.uri | https://creativecommons.org/licenses/by-nc-sa/4.0/ | eng |
| dc.subject.jel | E43 - Interest Rates: Determination, Term Structure, and Effects | eng |
| dc.subject.jel | G01 - Financial Crises | eng |
| dc.subject.jel | G11 - Portfolio Choice; Investment Decisions | eng |
| dc.subject.jel | G15 - International Financial Markets | eng |
| dc.subject.keyword | Term structure | eng |
| dc.subject.keyword | Bond market participation | eng |
| dc.subject.keyword | Bond market concentration | eng |
| dc.subject.keyword | Bond holdings | eng |
| dc.subject.lemb | Deuda pública -- Colombia -- 2006-2018 | spa |
| dc.subject.lemb | Rendimientos de tasa de interés -- Colombia -- 2006-2018 | spa |
| dc.subject.lemb | Estudio de participación y concentración de TES -- Colombia -- 2006-2018 | spa |
| dc.title | Post-graduation from the original sin problem The effects of market participation on sovereign debt markets | eng |
| dc.type | Working paper | eng |
| dc.type.hasversion | Published Version | eng |
| dc.type.spa | Documentos de Trabajo | spa |
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