国际清算银行-对政府债务的需求（英）-2023.6-71页_889kb

Demand for Government Debt: Elasticity and Compositional Shifts

This BIS Working Paper examines the demand for government debt, focusing on sectoral composition and yield elasticity across jurisdictions. Using data from the US, Euro area, Japan, and UK, it documents significant shifts in holdings tied to quantitative easing (QE) and the COVID-19 crisis. The yield elasticity of demand is estimated using instrumental variables from monetary policy surprises, revealing that a 1 percentage point increase in long-term yields leads to an average 11.4% increase in demand by non-central-bank players. Commercial banks, foreign private investors, pension funds, and investment funds demonstrate high sensitivity, while other groups like households and insurance companies are relatively inelastic. As central banks normalize balance sheets through quantitative tightening (QT), these heterogeneities imply compositional shifts in debt holders, with potential policy implications such as market functioning and balance sheet normalization urgency. A scenario analysis shows that a $215 billion QT reduction in the US could increase long-term yields by 10 basis points, highlighting QT's quantitative impact.