In a fresh paper, I analyse the composition and evolvement of the investor base over the advanced G20 countries and the Eurozone (Andritzky 2012). The analysis demonstrates a ten percentage point upsurge in the share of bonds held by non-residents is connected with a drop in yields by about 40 basis points and higher volatility.
The investor base for government bonds: What exactly are the facts?
A fresh dataset on the investor composition of government securities in advanced G20 countries shows a big amount of region- or country-specific patterns (Figure 1). Canada, the united kingdom, and the united states – countries with very deep financial markets and highly developed financial systems – exhibit a diversified investor base with significant holdings by all investor types. Europe (and Australia) show deep ties with non-resident investors. On the other hand, Japan and Korea have a minimal share of non-resident holdings but sizable holdings of government entities and state-owned enterprises.