Blog Post

Introducing the Bruegel dataset of sovereign bonds holdings (and more)

Early this year Jean Pisani-Ferry and I wrote a policy contribution titled “Who’s afraid of sovereign bonds”, where we were investigating the role of euro area banks in holding of domestic government debt securities, one of the important aspects of the sovereign-banking crisis loop. In order to do so, we needed to know how the […]

By: Date: August 27, 2012 Topic: European Macroeconomics & Governance

Early this year Jean Pisani-Ferry and I wrote a policy contribution titled “Who’s afraid of sovereign bonds”, where we were investigating the role of euro area banks in holding of domestic government debt securities, one of the important aspects of the sovereign-banking crisis loop.

In order to do so, we needed to know how the share of domestic banks in total holdings had evolved over time. This required a breakdown of sovereign bond holdings by the different sectors of the economy, for each country and at the highest possible frequency. But in the process, we discovered that there is neither a single source for this kind of information, nor any common practice across the institutions providing the data[1].

We therefore constructed a new cross-country database of sectorial sovereign bond holdings, gathering publicly available data provided by national authorities on a country-by-country basis. The project required time and effort, but now we have data on sectorial holdings of sovereign bonds for 12 countries (Belgium, Finland, France, Germany, Greece, Ireland, Italy, Netherlands, Portugal, Spain, UK and US). Data go back for most of the countries to the late Nineties and are mostly at quarterly frequency.

The sectorial breakdown provided by national authorities usually differs across countries, complicating to some extent the cross-country analysis. We therefore complemented the original data with a synthetic and standardised re-classification, based on 5 categories identical for all countries (banks, central banks, public institutions, other resident sectors and non-resident holders).

Share of resident banks and of non-resident investors in the total holding of sovereign bonds

(selected countries)

Source: Bruegel dataset of sovereign bond holdings. See explanatory notes in the excel file for definitions and explanations.

Figure 1 gives an example of the informative potential of the data, plotting the share of sovereign bonds held by domestic banks against the share held by non-residents for selected European countries. As we were showing in February, a pattern emerges across the euro area periphery, where foreign investors have been off-loading risky bonds that have been increasingly absorbed by domestic banks. This process has continued and for countries like Italy and Spain it has accelerated, pointing to an increasing fragmentation of the sovereign bond markets. In Spain the situation is particularly striking, as the relative positions of non-residents and domestic banks have inverted and are back to the pre-euro level of 1999. Germany on the other hand has seen no flection in the increasing trend of on-resident holdings, benefitting from the “flight to quality” from the periphery.

To our knowledge, this is the first cross-country database on sectorial bond holdings that covers almost all the sovereign issuer of the euro area and we believe that it could therefore add a significant value to the existing sources. For this reason, we have decided to make it publicly available on Bruegel’s website, subject to the only request that users quote as a source the Bruegel dataset on sovereign bond holdings and the original paper (Merler, S. and Jean Pisani-Ferry (2012), “Who’s afraid of sovereign bonds?”, Bruegel policy contribution 2012|2, February) for which the dataset was constructed. The dataset published on our website will be updated quarterly, to incorporate the latest data releases.

This paper is part of a more comprehensive work we at Bruegel have been doing on capital flights, sovereign-banking loop and financial fragmentation in the euro area. We are planning to publish further datasets gradually, hoping to make a further contribution to the analysis and policymaking of the financial crisis.

Download dataset in XLS format

Who’s afraid of sovereign bonds?


[1] EUROSTAT conducts a survey and provides data on the breakdown of government debt by country but they are only annual and they do not disaggregate banks within the sector of financial corporations.


Republishing and referencing

Bruegel considers itself a public good and takes no institutional standpoint. Anyone is free to republish and/or quote this post without prior consent. Please provide a full reference, clearly stating Bruegel and the relevant author as the source, and include a prominent hyperlink to the original post.

View comments
Read article More by this author

Blog Post

Latest data shows developing trends in the European Central Bank’s refinancing operations

The stock of liquidity supplied through the ECB’s open market operations has remained relatively stable, though there is a clearer change in the country composition.

By: Konstantinos Efstathiou Topic: European Macroeconomics & Governance, Finance & Financial Regulation Date: December 12, 2017
Read article

Blog Post

An update: sovereign bond holdings in the euro area – the impact of quantitative easing

Since the European Central Bank’s announcement in January 2015 of its quantitative easing programme, national central banks have been buying government and national agency bonds. In this post we look at the effect of QE on sectoral holdings of government bonds, updating calculations that we published initially in May 2016.

By: Pia Hüttl and David Pichler Topic: European Macroeconomics & Governance Date: October 10, 2017
Read article More on this topic

Blog Post

An update: Sovereign bond holdings in the euro area – the impact of QE

Since the ECB’s announcement of its QE programme in January 2015, national central banks have been buying government and national agency bonds. In this post we look at the effect of QE on sectoral holdings of government bonds, updating our calculations published in May and November 2016.

By: Pia Hüttl and Inês Goncalves Raposo Topic: European Macroeconomics & Governance Date: March 9, 2017
Read article More on this topic

Blog Post

An update: Sovereign bond holdings in the euro area – the impact of QE

Since the ECB’s announcement of its QE programme in January 2015, national central banks have been buying government and national agency bonds. In this post we look at the effect of QE on sectoral holdings of government bonds, based on our recently updated dataset.

By: Pia Hüttl and Silvia Merler Topic: European Macroeconomics & Governance Date: November 22, 2016
Read article More on this topic

Blog Post

Update of the EFIGE dataset

The EFIGE dataset on firms' competitivenes was recently updated by extending the panel-level balance sheet data until the year 2014. This post highlights the main features of the brand new data.

By: Tommaso Aquilante and Domenico Favoino Topic: Innovation & Competition Policy Date: August 22, 2016
Read article More on this topic

Blog Post

Sovereign bond holdings in the euro area - the impact of QE

Since the announcement of the QE programme by the European Central Bank (ECB) on 22 January 2015, national central banks have been buying government and national agency bonds. In this post we look at the effect of QE on sectoral holdings of government bonds, based on our recently updated dataset.

By: Pia Hüttl and Silvia Merler Topic: European Macroeconomics & Governance Date: May 19, 2016
Read article Download PDF More on this topic

Policy Contribution

Financial regulatory transparency: new data and implications for EU policy

This paper introduces a new international financial regulatory data transparency index - the Financial Regulatory Transparency (FRT) Index - in order to address the exisiting gap in measuring regulatory transparency.

By: Mark Copelovitch, Christopher Gandrud and Mark Hallerberg Topic: Finance & Financial Regulation Date: December 10, 2015
Read article More on this topic More by this author

Blog Post

Real exchange rates in conflict zones

Several countries experiencing conflict have been able to maintain a stable nominal exchange rate and thereby their real exchange rates were either stable or even increased due to high inflation. In contrast, nominal exchange rates have recently crashed in Syria, Ukraine and Russia, but high inflation has partially or fully counteracted its impact on the real exchange rate.

By: Zsolt Darvas Topic: European Macroeconomics & Governance Date: November 26, 2015
Read article More on this topic More by this author

External Publication

Does money matter in the euro area? Evidence from a new Divisia index

Zsolt Darvas created a a dataset on euro-area Divisia-money aggregates. In this paper, Zsolt estimates theoretically correct responses to money, user cost and interest rate shocks using structural vector-autoregressions. 

By: Zsolt Darvas Topic: European Macroeconomics & Governance Date: June 17, 2015
Read article More on this topic More by this author

Blog Post

Real exchange rates after the Swiss tsunami

The surprise abolition of the 1.2 Swiss franc/euro exchange rate floor by the Swiss National Bank sent shock waves to currency markets. The instant reaction was more than 30 percent appreciation of the Swiss franc, which corrected somewhat later and other currency rates have changed too. Today the franc is traded at a rate of about 1 to the euro, implying 20 percent nominal appreciation.

By: Zsolt Darvas Topic: European Macroeconomics & Governance Date: January 19, 2015
Read article Download PDF

Working Paper

The EU-EFIGE/Bruegel-Unicredit dataset

This paper describes the EU-EFIGE/Bruegel-UniCredit dataset (in short the EFIGE dataset), a database recently collected within the EFIGE project (European Firms in a Global Economy: internal policies for external competitiveness) supported by the Directorate General Research of the European Commission through its 7th Framework Programme and coordinated by Bruegel. • The database, for the first […]

By: Carlo Altomonte and Tommaso Aquilante Topic: Energy & Climate, Innovation & Competition Policy Date: October 4, 2012
Read article Download PDF More on this topic More by this author

Working Paper

Real effective exchange rates for 178 countries: a new database

Using data on exchange rates and consumer price indices and a weighting matrix, we calculate up-to-date consumer price index-based REER (the real effective exchange rate) for 178 countries – many more than in any other publicly available database – plus for the euro area. The database will be irregularly updated.

By: Zsolt Darvas Topic: Global Economics & Governance Date: March 15, 2012
Load more posts