Sovereign Bond Holdings

MAIN DATASET

This cross-country database of sectorial sovereign bond holdings, gathers 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).

For the specific purpose of cross-country analysis, we provide a similar database which uses a combination of time series provided by the ECB along with national sources for those cases in which the ECB does not provide data. The price for the high comparability is more discrete time series, which entail annual observations instead of quarterly ones. Another advantage of this database is in the number of countries covered: all EU27 countries, EA17 as aggregate, US and Japan.

Alternative dataset (Discontinued)

Notice that due to the frequent revisions that characterise this kind of data, a frequent update is necessary and will be conducted by Bruegel on a half-yearly basis but take into account that the various national authorities may release these data with even more than a year lag, so please be patient.

Instructions for reference

In using these data, please quote as source the “Bruegel database of sovereign bond holdings developed in Merler and Pisani-Ferry (2012)”, where the reference is to Silvia Merler and Jean Pisani-Ferry, “Who’s afraid of sovereign bonds“, Bruegel Policy Contribution 2012|02, February 2012

Notice that due to the frequent revisions that characterise this kind of data, a frequent update is necessary and will be conducted by Bruegel on a quarterly basis but take into account that the various national authorities may release these data with even more than a year lag, so please be patient.