2023-06-22-国际清算银行-对政府债务的需求_71页_873kb

Key Findings
The demand for government debt varies significantly across jurisdictions. Central banks play a major role in government debt markets, with their holdings increasing substantially post-quantitative easing (QE). The Bank for International Settlements estimates that a 1 percentage point increase in long-term yields leads to an 11.4% increase in demand by non-central-bank players. Foreign private investors, pension funds, and commercial banks exhibit the most elastic demand.

Methodology and Estimates
Using a demand system approach and instrumental variables from monetary policy surprises, the paper estimates yield elasticities for different investor groups. Most sectors have downward-sloping demand curves. The weighted average yield elasticity for U.S. government bonds is approximately 11.4%, meaning an 11% increase in demand for non-central-bank players with a 1 percentage point yield increase. Using the elasticity estimates, a hypothetical $215 billion reduction in the central bank balance sheet increases the 8-year yield by 10 basis points.

Implications for Quantitative Tightening
As central banks reduce their balance sheets through quantitative tightening (QT), non-central-bank players will absorb the released supply. The most elastic sectors—foreign private investors, pension funds, commercial banks, and investment funds—will influence market dynamics. Changes in composition of holders translate into market-clearing yield changes. The analysis provides a quantitative guide for policymakers to assess the potential impact of balance sheet normalization on long-term yields and market functioning.

Sector-Specific Behavior
Foreign private investors are major net purchasers, especially during QE periods. Pension funds and investment funds show high sensitivity to yield changes. Commercial banks' rise in market importance is driven by regulatory requirements like the Liquidity Coverage Ratio (LCR), making them key players during QT due to their substitution behavior between reserves and bonds.

Policy Implications and Concluding Thoughts
The paper underscores that as global players like foreign private funds, pension funds, and commercial banks absorb more government debt during QT, they can amplify market stress. Policies encouraging portfolio rebalancing towards riskier assets may increase vulnerabilities. More granular data on market participants and their decisions is needed to refine future analyses.