This paper documents how sovereign debt ratings shape the country composition of euro area cross-border holdings of euro area sovereign debt, using granular sectoral security holdings statistics for the period 2009Q4 until 2016Q1. Credit risk is the main risk for bond investors when investing in bonds that are issued in the same currency as the currency of the investor’s home country. Sovereign debt ratings provided by rating agencies give investors key information on the creditworthiness of governments. The results in this paper show that investors respond differently to credit ratings. In particular, we find that investors from core euro area countries respond more to credit ratings than investors from peripheral euro area countries. The results show that banks and insurance companies in core countries hold significantly more sovereign bonds of countries with higher credit ratings. In peripheral countries we do not find a positive relationship between ratings and sovereign bond holdings.

本文使用 2009 年第 4 季度至 2016 年第 1 季度的细粒度部门证券持有统计数据，记录了主权债务评级如何影响欧元区跨境持有欧元区主权债务的国家构成。信用风险是债券投资者在投资与投资者母国货币相同的债券时面临的主要风险。评级机构提供的主权债务评级为投资者提供有关政府信誉的关键信息。本文的结果表明，投资者对信用评级的反应不同。特别是，我们发现来自欧元区核心国家的投资者比来自外围欧元区国家的投资者对信用评级的反应更大。结果表明，核心国家的银行和保险公司持有的信用评级较高国家的主权债券明显更多。在外围国家，我们没有发现评级与主权债券持有量之间存在正相关关系。