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克服原罪：来自新数据集的见解（英）

信息技术2023-02-01国际清算银行佛***

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This paper presents a new dataset on emerging market sovereign bonds, which distinguishes between the currency of denomination and the residence of investors. The dataset covers long-term government bonds and provides a more complete coverage of bonds issued in domestic markets. The authors document several trends, including the fact that a preponderance of foreign currency bonds is associated with greater holdings by foreign investors, but the correlation is weak at best. Over time, emerging market governments have enhanced their ability to borrow abroad in their own currency, reducing their reliance on foreign investors. The paper suggests that emerging market governments should focus on building their own domestic bond markets to reduce their reliance on foreign investors and mitigate the risks associated with original sin.

BISWorkingPapers No1075 Overcomingoriginalsin:insightsfromanewdataset byMertOnen,HyunSongShinandGoetzvonPeter MonetaryandEconomicDepartment February2023 JELclassification:F34,G15,H63. Keywords:Emergingmarketeconomies,sovereignbonds,internationallending,internationalfinancialmarkets,foreigninvestors,originalsin. BISWorkingPapersarewrittenbymembersoftheMonetaryandEconomicDepartmentoftheBankforInternationalSettlements,andfromtimetotimebyothereconomists,andarepublishedbytheBank.Thepapersareonsubjectsoftopicalinterestandaretechnicalincharacter.TheviewsexpressedinthemarethoseoftheirauthorsandnotnecessarilytheviewsoftheBIS. ThispublicationisavailableontheBISwebsite(www.bis.org). ©BankforInternationalSettlements2023.Allrightsreserved.Briefexcerptsmaybereproducedortranslatedprovidedthesourceisstated. ISSN1020-0959(print) ISSN1682-7678(online) Overcomingoriginalsin:insightsfromanewdataset MertOnen,HyunSongShinandGoetzvonPeter1 16February2023 Abstract:Thispaperintroducesanewdatasetonemergingmarketsovereignbonds,distinguishingbetweenthecurrencyofdenominationandtheresidenceofinvestors.Ourdatasetisonlong-termgovernmentbondsandprovidesamorecompletecoverageofbondsissuedindomesticmarkets.Wedocumentseveralsalienttrends.Whileapreponderanceofforeigncurrencybondsisassociatedwithgreaterholdingsbyforeigninvestors,thecorrelationisweakatbest.Overtime,emergingmarketgovernmentshaveenhancedtheirabilitytoborrowabroadintheirowncurrency,reducingtheirrelianceonforeigncurrencydebt.Inthissense,EMEsovereignshavemadeprogresstowardovercomingoriginalsin.Nevertheless,thegreaterroleofmarketanddurationriskandtheactivityofforeignnon-bankfinancialintermediaries(NBFIs)meanthatemergingmarketsremainsubjecttofluctuationsinglobalfinancialconditions. JEL:F34,G15,H63. Keywords:Emergingmarketeconomies,sovereignbonds,internationallending,internationalfinancialmarkets,foreigninvestors,originalsin. 1BankforInternationalSettlements.WethankSerkanArslanalp,KristyJansen,GianMariaMilesi-Ferretti,UgoPanizzaandAndreaPresbitero,andtheparticipantsattheBISandtheMay2021workshopon“SovereignDebtandDevelopment”forveryhelpfulcomments.WearegratefultoBilyanaBogdanova,TracyChanandKristinaMicicfortheirworkontheBISgovernmentbondstatisticstrackingtheamountsoutstandingbycurrency,andtoJhuveshSobrunforhishelpwithinteractivedashboards.Thedatasetfeaturedinthispaperismadeavailableonlinealongwithdashboardsforvisualisation.TheviewsexpressedareoursanddonotnecessarilyreflectthoseoftheBankforInternationalSettlements. Introduction Animportantlessonfromthecrisesafflictingemergingmarketeconomies(EMEs)inthe1990swasthatborrowingshort-terminforeigncurrencyexposescountriestotheriskofrisingdebtburdensandsuddenreversalsofcapitalflows,withconsequencesforthefinancialsystemandtheeconomyasawhole.Policyeffortssincethe1990scriseshaveaimedtoreducetherelianceonforeigncurrencydebt,bydevelopingdomesticsovereignbondmarketsinlocalcurrency.Wherethedomesticinvestorbasewassmall,thiseffortwenthandinhandwithpromotinggreaterforeignparticipationindomesticbondmarkets. Theaimofourpaperistoprovidea“deepdive”intothesovereignbondmarketsforemergingmarketeconomies,andtotakestockoftheextenttowhichemergingmarketgovernmentshavereducedtheirrelianceonforeigncurrencybonds.Thefocusonlong-termgovernmentbondsismotivatedbythegreaterroleofnon-bankfinancialintermediaries(NBFIs)incapitalmarketsinrecentyears,andtherecentfocusonmarketanddurationriskasfactorsunderlyingthepropagationofstress.WeintroduceanewlycompileddatasetonEMEsovereignbonds,describedinmoredetailbelow,anddissectthekeytrends. Wefindthatmajoremergingmarketsovereignissuershavemadeprogresstowardissuingindomesticcurrency,evenforforeigninvestors,therebyovercoming“originalsin”.Thetermreferstotheinabilityofacountrytoborrowabroadinitsowncurrency(EichengreenandHausmann,1999;Eichengreenetal,2005).However,thishasbeenachievedattheexpenseofgreaterrelianceonnon-residentinvestorsinthedomesticbondmarket,whoendupbearingthecurrencyrisk.Totheextentthatnon-residentinvestorsarelesswillingtoholdlocalcurrencybondsinperiodsofstress,theborrowinggovernmentsaresubjecttomorevolatilecapitalflows–aphenomenondubbed“originalsinredux”byCarstensandShin(2019). OurstatisticalexerciseistoconstructanewdatasetonEMEsovereignbondsthatdistinguishesthecurrencyofissuancefromtheresidenceofinvestors.WestartwiththeBISstatisticsongeneralgovernmentbondsinlocalandforeigncurrenciesandmatchthemwithseriesonforeignholdingscollectedfromnationalofficialsources.Ourdatacoverageisbroad,encompassingallgovernmentbondsissuedindomesticandinternationalbondmarkets.Thedatasetfeatures25majorEMEs,andrangesfrom2005to2021inquarterlyfrequency.Comparedwithotherrelateddatasets,theuseofnationalstatisticsreportedbyBISmembercentralbankshelpsreducetheguessworkandapproximationsthatareoftenrequiredinempiricaleffortsinthisarea.OurfocusongovernmentbondsisnarrowerthaninArslanalpandTsuda’s(2014),whoalsocoverloans.Thenarrowerfocusinourpaperismotivatedbyourapplicationstomarketrisk,andenablesaconsistentsplitofgeneralgovernmentbondsintolocalandforeigncurrenc

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